Geographic dissemination of information

Journal of Corporate Finance

Volumn 13, Issue 5, 2007, Pages 675-694

  Loughran, Tim ^a  

^a UNIVERSITY OF NOTRE DAME   (United States)

Author keywords

Familiarity; Lead lag relationships; Urgent trades

Indexed keywords

EID: 36349023708     PISSN: 09291199     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jcorpfin.2007.03.006     Document Type: Article

References (35)

1. Almazan A., de Motta A., Titman S., and Uysal V. Financial structure, liquidity, and firm locations. Working Paper (2006), University of Texas
2. Arnold T., Hersch P., Mulherin J.H., and Netter J. Merging markets. Journal of Finance 54 (1999) 1083-1107
3. Audretsch D., and Feldman M. R and D spillovers and the geography of innovation and production. American Economic Review 86 (1996) 630-640
4. Audretsch D., and Stephan P. Company-scientist locational links: the case of biotechnology. American Economic Review 86 (1996) 641-652
5. Badrinath S., Kale J., and Noe T. Of shepards, sheep, and the cross-autocorrelations in equity returns. Review of Financial Studies 8 (1995) 401-430
6. Barclay M., and Warner J. Stealth trading and volatility: which trades move prices?. Journal of Financial Economics 34 (1993) 281-305
7. Battalio R., Hatch B., and Jennings R. SOES trading and market volatility. Journal of Financial and Quantitative Analysis 32 (1997) 225-238
8. Blume M., and Keim D. Stale or sticky stock prices? Non-trading, predictability, and mutual fund returns. Working Paper (2006), University of Pennsylvania
9. Bortolotti B., Megginson W., and Smart S. The rise of accelerated seasoned equity underwritings. Working Paper (2006), University of Oklahoma
10. Boudoukh J., Richardson M., and Whitelaw R. A tale of three schools: insights on autocorrelations of short-horizon stock returns. Review of Financial Studies 7 (1994) 539-573
11. Brennan M., Jegadeesh N., and Swaminathan B. Investment analysis and the adjustment of stock prices to common information. Review of Financial Studies 6 (1993) 799-824
12. Ciccotello C., Piwowar M., and Hornyak M. Geography and the opportunity costs of relationship specific capital. Working Paper (2007), Georgia State University
13. Coval J., and Moskowitz T. Home bias at home: local equity preference in domestic portfolios. Journal of Finance 54 (1999) 2045-2073
14. Coval J., and Moskowitz T. The geography of investment: informed trading and asset prices. Journal of Political Economy 109 (2001) 811-841
15. Fama E., and French K. Industry costs of equity. Journal of Financial Economics 43 (1997) 153-193
16. Grinblatt M., and Keloharju M. How distance, language and culture influence stockholdings and trades. Journal of Finance 56 (2001) 1053-1073
17. Harris J., and Schultz P. The importance of firm quotes and rapid executions: evidence from the January 1994 SOES rules change. Journal of Financial Economics 45 (1997) 135-166
18. Hayek F.A. The use of knowledge in society. American Economic Review 35 (1945) 519-530
19. Hong H., and Stein J. A unified theory of underreaction, momentum trading and overreaction in asset markets. Journal of Finance 54 (1999) 2143-2184
20. Hong H., Kubik J., and Stein J. Thy neighbor's portfolio: word-of-mouth effects in the holdings and trades of money managers. Journal of Finance 60 (2005) 2801-2824
21. Hong H., Torous W., and Valkanov R. Do industries lead stock markets?. Journal of Financial Economics 83 (2007) 367-396
22. Hou, K., in press. Industry information diffusion and the lead-lag effect in stock returns. Review of Financial Studies.
23. Huberman G. Familiarity breeds investment. Review of Financial Studies 14 (2001) 659-680
24. Ivkovic Z., and Weisbenner S. Local does as local is: information content of the geography of individual investors' Common Stock Investments. Journal of Finance 60 (2005) 267-306
25. Kedia S., Panchapagesan V., and Uysal V. Geography and acquirer returns. Working Paper (2005), Rutgers Business School
26. Kim E.H., Morse A., and Zingales L. Are elite universities losing their competitive edge?. Working Paper (2006), University of Michigan
27. Lo A., and MacKinlay A.C. Stock market prices do not follow random walks: evidence from a simple specification test. Review of Financial Studies 1 (1988) 41-66
28. Loughran T., and Schultz P. Liquidity: urban versus rural firms. Journal of Financial Economics 78 (2005) 341-374
29. Malloy C. The geography of equity analysis. Journal of Finance 60 (2005) 719-755
30. McQueen G., Pinegar M., and Thorley S. Delayed reaction to good news and the autocorrelation of stock returns. Journal of Finance 51 (1996) 889-919
31. Sias R., and Starks L. Return autocorrelation and institutional investors. Journal of Financial Economics 46 (1997) 103-131
32. Smith C. Globalization of financial markets. Carnegie-Rochester Conference Series on Public Policy 34 (1991) 77-96
33. Titman S., and Subrahmanyam A. The going-public decision and the development of financial markets. Journal of Finance 54 (1999) 1045-1082
34. White H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48 (1980) 817-838
35. Zhu N. The local bias of individual investors. Working Paper (2002), Yale University