Mutual funds and information diffusion: The role of country-level governance

Review of Financial Studies

Volumn 27, Issue 11, 2014, Pages 3343-3387

  Lin, Chunmei ^a   Massa, Massimo ^b   Zhang, Hong ^c  

^a ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^b INSEAD   (Singapore)

^c TSINGHUA UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84911071855     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhu046     Document Type: Article

References (57)

1. Acemoglu, D., and S. Johnson. 2005. Unbundling institutions. Journal of Political Economy 113:949-95.
2. Acemoglu, D., S. Johnson, and T. Mitton. 2009. Determinants of vertical integration: Financial development and contracting costs. Journal of Finance 63:1251-90.
3. Aggarwal, R., I. Erel, R. Stulz, and R.Williamson. 2009. Differences in governance practices between U.S. and foreign firms: Measurement, causes, and consequences. Review of Financial Studies 22:3131-69.
4. Amihud,Y. 2002. Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets 5:31-56.
5. Bae, K. H.,R.M. Stulz, and H.Tan. 2008. Do local analysts know more?Across-country study of the performance of local analysts and foreign analysts. Journal of Financial Economics 88:581-606.
6. Bailey, W., H.T. Li, and C.X. Mao. 2003. Regulation fair disclosure and earnings information: market, analyst, and corporate responses, Journal of Finance 58:2487-514.
7. Bartram, S. M., G. Brown, and R. M. Stulz. 2012. Why are U.S. firms more volatile? Journal of Finance 67:1329-70.
8. Beber,A., and M. Pagano. 2013. Short-selling bans around the world: Evidence from the 2007-09 crisis. Journal of Finance 68:343-81.
9. Bekaert, G., C. R. Harvey, and C. T. Lundblad. 2007. Liquidity and expected returns: Lessons from emerging markets. Review of Financial Studies 20:1783-831.
10. Bekaert, G., R. J. Hodrick, and X. Zhang. 2012. Aggregate idiosyncratic volatility. Journal of Financial and Quantitative Analysis 47:1155-85.
11. Bushman, R., J. Piotroski, and A. Smith. 2004. What determines corporate transparency? Journal of Accounting Research 42:207-52.
12. Carhart, M. M. 1997. On persistence in mutual fund performance. Journal of Finance 52:57-82.
13. Chan, K., V. Covrig, and L. Ng. 2005. What determines the domestic bias and foreign bias? Evidence from mutual fund equity allocations worldwide. Journal of Finance 60:1495-534.
14. Chang, J., T. Khanna, and K. Palepu. 2001. Analyst activity around the world. HBS Working Paper No. 01-061.
15. Chordia, T., A. Sarkar, and A. Subrahmanyam. 2005. An empirical analysis of stock and bond market liquidity. Review of Financial Studies 18:85-129.
16. Cohen, L., and D. Lou. 2012. Complicated firms. Journal of Financial Economics 104:383-400.
17. Coval, J., and Stafford E. 2007.Asset fire sales (and purchases) in equity markets. Journal of Financial Economics 86:479-512.
18. Daniel, K., M. Grinblatt, S. Titman, and R. Wermers. 1997. Measuring mutual fund performance with characteristic-based benchmarks. Journal of Finance 52:1035-58.
19. DeFond, M.,M.Hung, and R.Trezevant. 2007. Investor protection and the information content of annual earnings announcements: International evidence. Journal of Accounting & Economics 43:37-67.
20. Demirguc-Kunt, A., and V. Maksimovic. 1999. Institutions, financial markets, and firm debt maturity. Journal of Financial Economics 54:295-336.
21. Djankov S., R. LaPorta, F. Lopez-de-Silanes, and A. Shleifer. 2008. The law and economics of self-dealing. Journal of Financial Economics 88:430-65.
22. Djankov, S., McLiesh, C., and A. Shleifer. 2007. Private credit in 129 countries. Journal of Financial Economics 84:299-329.
23. Doidge, C., G. A. Karolyi, and R. M. Stulz. 2004. Why are foreign firms listed in the U.S. worth more? Journal of Financial Economics 71:205-38.
24. -. 2007. Why do countries matter so much for corporate governance? Journal of Financial Economics 86:1-39.
25. Durnev,A., V. Errunza, and A. Molchanov. 2009. Property rights protection, corporate transparency, and growth. Journal of International Business Studies 40:1533-62.
26. Engelberg J., A. V. Reed, and M. Ringgenberg. 2012. How are shorts informed? Short sellers, news, and information processing, Journal of Financial Economics 105:260-78.
27. Fama, E. F., and K. R. French. 1993. Common risk factors in the return on bonds and stocks. Journal of Financial Economics 33:3-53.
28. Ferreira, M., and P. Matos. 2008. The colors of investors' money: The role of institutional investors around the world. Journal of Financial Economics 88:499-533.
29. Gopalan, R., O. Kadan, and M. Pevzner. 2012. Asset liquidity and stock liquidity. Journal of Financial and Quantitative Analysis 47:333-64.
30. Green, T. C. 2004. Economic news and the impact of trading on bond prices. Journal of Finance 59:1201-33.
31. Griffin, J., N. Hirschey, and P. Kelly. 2011. How important is the financial media in global markets? Review of Financial Studies 24:3941-92.
32. Hameed, A., W. Kang, and S. Viswanathan. 2010. Stock market declines and liquidity. Journal of Finance 65:257-93.
33. Haw, I., B. Hu, J. J. Lee, andW.Wu. 2012. Investor protection and price informativeness about future earnings: International evidence. Review of Accounting Studies 17:389-419.
34. Hong, H., and M. Kacperczyk. 2009. The price of sin: The effects of social norms onmarkets. Journal of Financial Economics 93:15-36.
35. Hong, H., and J. C. Stein. 2003, Differences of opinion, short-sales constraints, and market crashes. Review of Financial Studies 16:487-525.
36. Ince, O. S., and R. B. Porter. 2006, Individual equity return data from Thomson Datastream: Handle with care! Journal of Financial Research 29:463-79.
37. Jensen, M. 1968. The performance of mutual funds in the period 1945-1964. Journal of Finance 23:389-416.
38. Jin, L., and S. Myers. 2006. R-square around the world:Newtheory and new tests. Journal ofFinancial Economics 79:257-92.
39. Kacperczyk, M., and A. Seru. 2007. Fund manager use of semipublic information. Journal of Finance 52:485-528.
40. Kandel, E., and N. Pearson. 1995. Differential interpretation of public signals and trade in speculative markets. Journal of Political Economy 103:831-72.
41. Karolyi, G. A., K. Lee, and M. A. Van Dijk. 2012. Understanding commonality in liquidity around the world. Journal of Financial Economics 105:82-112
42. Karolyi,G.A., andY.Wu. 2012.The role of investability restrictions on size, value, and momentum in international stock returns.Working Paper.
43. Kim, O., and R. E. Verrecchia. 1994. Liquidity and volume around earnings announcements. Journal of Accounting and Economics 17:41-67.
44. Krinsky, I., and J. Lee. 1996. Earnings announcements and the components of the bid-ask spread. Journal of Finance 51:1523-35.
45. Kyle, A. S. 1985. Continuous auctions and insider trading. Econometrica 53:1315-35.
46. Lau, S. T., L. Ng, and B. Zhang. 2010. The world price of home bias. Journal of Financial Economics 97:191-217.
47. Lee, C., B.Mucklow, and M. Ready. 1993. Spreads, depths, and the impact of earnings information: An intraday analysis. Review of Financial Studies 6:345-74.
48. Madureira, L., and S. Underwood. 2008. Information, sell-side research, and market making. Journal of Financial Economics 90:105-26.
49. Morck, R., B. Yeung, and W. Yu. 2000. The information content of stock markets: Why do emerging markets have synchronous stock price movements? Journal of Financial Economics 59:215-60.
50. Opp, M. M. 2012. Expropriation risk and technology. Journal of Financial Economics 103:113-29.
51. Pagano, M., and P. Volpin. 2012. Securitization, transparency, and liquidity. Review of Financial Studies 25:2417-53.
52. Petersen, M. 2009. Estimating standard errors in finance panel data sets: comparing approaches. Review of Financial Studies 22:435-80.
53. Sarkar, A., and R. A. Schwartz. 2009. Market sidedness: Insights into motives for trade initiation. Journal of Finance 64:375-423.
54. Williamson, O. 1975. Markets and hierarchies: Analysis and antitrust implications. New York: Free Press.
55. Williamson, O. 1985. The economic institutions of capitalism. New York: Free Press.
56. Wurgler, J. A. 2000. Financial markets and the allocation of capital. Journal of Financial Economics 58:187-214.
57. Xu, N., Kam C. C., X. Jiang, and Z. Yi. 2013. Do star analysts know more firm-specific information? Evidence from China. Journal of Banking & Finance 37:89-102.