Publication Type
Journal Article
Version
publishedVersion
Publication Date
11-2014
Abstract
We hypothesize that poor country-level governance, which makes public information less reliable, induces fund managers to increase their use of semipublic information. Utilizing data from international mutual funds and stocks over the 2000-2009 period, we find that semipublic information-related stock rebalancing can be five times higher in countries with the worst quality of governance than in countries with the best. The use of semipublic information increases price informativeness but also increases information asymmetry and reduces stock liquidity. It also intensified the price impact and liquidity crunch during the recent global financial crisis.
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
Publication
Review of Financial Studies
Volume
27
Issue
11
First Page
3343
Last Page
3387
ISSN
0893-9454
Identifier
10.1093/rfs/hhu046
Publisher
Oxford University Press (OUP): Policy F - Oxford Open Option D
Citation
LIN, Chunmei; MASSA, Massimo; and ZHANG, Hong.
Mutual funds and information diffusion: The role of country-level governance. (2014). Review of Financial Studies. 27, (11), 3343-3387.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7052
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
External URL
https://doi.org/10.1093/rfs/hhu046