Home Away From Home: Geography of Information and Local Investors
Publication Type
Journal Article
Publication Date
11-2014
Abstract
We develop a 10K-based measure of spatial variation in the availability of value-relevant information that reflects the multi-dimensional nature of firm location. Spatially distributed information generates location-based information asymmetries that affect institutional portfolio decisions and performance. Institutions overweigh firms with greater local economic exposure and earn superior returns on corresponding trades, even for firms not headquartered locally. These patterns are stronger among harder-to-value stocks. Consistent with local informational advantage, local investor performance increases with the local exposure of individual stock holdings and her portfolio as a whole, and more so when her portfolio is more heavily tilted toward local stocks.
Discipline
Business
Publication
Review of Financial Studies
ISSN
0893-9454
Identifier
10.1093/rfs/hhv004
Citation
BERNILE, Gennaro; Kumar, Alok; and Sulaeman, Johan.
Home Away From Home: Geography of Information and Local Investors. (2014). Review of Financial Studies.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4206
Additional URL
https://doi.org/10.1093/rfs/hhv004