Home Away From Home: Geography of Information and Local Investors
Home Away From Home: Geography of Information and Local Investors
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DOI：
10.2139/ssrn.1711653
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发表时间：
2012-03
期刊：
影响因子：
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通讯作者：
Gennaro Bernile;Alok Kumar;Johan Sulaeman
中科院分区：
文献类型：
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作者：
Gennaro Bernile;Alok Kumar;Johan Sulaeman
我们开发了一种基于10-K的公司位置的多维度量。利用这一方法，我们证明了公司层面的信息在地理上是分布的，机构投资者能够利用由此产生的信息不对称。具体地说，机构投资者看重的是那些10-K经常提到投资者状况的公司，即使这些公司的总部不在当地，并在这些股票上获得了优异的回报。这些所有权和业绩模式在难以估值的公司中更为明显。本地投资者的业绩随着本地偏向的程度和投资组合公司的本地经济敞口而增加。总体而言，企业层面信息的地理差异产生了经济上显著的基于位置的信息不对称。
We develop a 10-K-based multidimensional measure of firm locations. Using this measure, we show that firm-level information is geographically distributed and institutional investors are able to exploit the resulting information asymmetry. Specifically, institutional investors overweigh firms whose 10-K frequently mentions the investors' state even when those firms are not headquartered locally and earn superior returns on those stocks. These ownership and performance patterns are stronger among hard-to-value firms. Local investor performance increases with the degree of local bias and with the local economic exposure of portfolio firms. Overall, geographical variation in firm-level information generates economically significant location-based information asymmetry.