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Local institutional investors, information asymmetries, and equity returns☆
16 references·16 citing·33 second hopsampled
Local institutional investors, information asymmetries, and equity returns☆ (2010)Local institutional investors, informatio…Performance matched discretionary accrual measures (2005)Performance matched discretio…The Geography of Investment: Informed Trading and Asset Prices (2001)The Geography of Investment: …Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Trading Is Hazardous to Your …Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Bad News Travels Slowly: Size…Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Home Bias at Home: Local Equi…The Influence of Institutional Investors on Myopic R&D Investment Behavior (1998)The Influence of Institutiona…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Industry costs of equity (1997)Industry costs of equityAnother Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…Cross-Sectional Determinants of Analyst Ratings of Corporate Disclosures (1993)Cross-Sectional Determinants …The impact of institutional trading on stock prices (1992)The impact of institutional t…Earnings Management During Import Relief Investigations (1991)Earnings Management During Im…Disclosure of Nonproprietary Information (1985)Disclosure of Nonproprietary …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Green investment funds and corporate green innovation: From the logic of social value (2023)Green investment funds and co…Geographic proximity and corporate investment efficiency: Evidence from high-speed rail construction in China (2022)Geographic proximity and corp…Social Proximity to Capital: Implications for Investors and Firms (2021)Social Proximity to Capital: …Influence of Social Media Emotional Word of Mouth on Institutional Investors’ Decisions and Firm Value (2019)Influence of Social Media Emo…Local corporate social responsibility, media coverage, and shareholder value (2017)Local corporate social respon…Do locals know better? A comparison of the performance of local and foreign institutional investors (2017)Do locals know better? A comp…Institutional herding in international markets (2015)Institutional herding in inte…Home away from Home: Geography of Information and Local Investors (2015)Home away from Home: Geograph…Geographic proximity and analyst coverage decisions: Evidence from IPOs (2014)Geographic proximity and anal…Local Overweighting and Underperformance: Evidence from Limited Partner Private Equity Investments (2012)Local Overweighting and Under…Local investors and corporate governance (2012)Local investors and corporate…Geographic Proximity between Auditor and Client: How Does It Impact Audit Quality? (2012)Geographic Proximity between …Financial reporting opacity and informed trading by international institutional investors (2012)Financial reporting opacity a…Institutional investment horizon and investment–cash flow sensitivity (2011)Institutional investment hori…Hometown advantage: The effects of monitoring institution location on financial reporting discretion (2011)Hometown advantage: The effec…Do foreign investors exhibit a corporate governance disadvantage? An information asymmetry perspective (2010)Do foreign investors exhibit …The Capital Structure Puzzle (1984)Firm Performance and Mechanisms to Control Agency Problems between Managers and Shareholders (1996)Earnings management to avoid earnings decreases and losses (1997)A Review of the Earnings Management Literature and Its Implications for Standard Setting (1999)Earnings Management through Real Activities Manipulation (2003)The economic implications of corporate financial reporting (2005)Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test (1976)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Conditional Skewness in Asset Pricing Tests (2000)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Increasing Returns and Economic Geography (1990)Investor Psychology and Asset Pricing (2001)Does Distance Still Matter? The Information Revolution in Small Business Lending (2002)Information and the Cost of Capital (2004)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Experimental and Quasi-Experimental Designs for Research (1963)Understanding earnings quality: A review of the proxies, their determinants and their consequences (2010)A review of archival auditing research (2014)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)In Search of Attention (2011)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1991Earnings Management During Import Relief Investigations8,369 cited
  • 2005Performance matched discretionary accrual measures6,963 cited
  • 1997Industry costs of equity5,793 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 2000Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors3,953 cited
  • 1998The Influence of Institutional Investors on Myopic R&D Investment Behavior3,013 cited
  • 1999Home Bias at Home: Local Equity Preference in Domestic Portfolios2,898 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 1993Cross-Sectional Determinants of Analyst Ratings of Corporate Disclosures2,643 cited
  • 2000Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies2,639 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 1992The impact of institutional trading on stock prices2,068 cited
  • 2001The Geography of Investment: Informed Trading and Asset Prices

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2,004 cited
  • 1985Disclosure of Nonproprietary Information1,923 cited
  • Cited by

    • 2011Hometown advantage: The effects of monitoring institution location on financial reporting discretion296 cited
    • 2012Geographic Proximity between Auditor and Client: How Does It Impact Audit Quality?278 cited
    • 2012Local investors and corporate governance269 cited
    • 2022Geographic proximity and corporate investment efficiency: Evidence from high-speed rail construction in China269 cited
    • 2015Home away from Home: Geography of Information and Local Investors240 cited
    • 2010Do foreign investors exhibit a corporate governance disadvantage? An information asymmetry perspective189 cited
    • 2012Financial reporting opacity and informed trading by international institutional investors187 cited
    • 2012Local Overweighting and Underperformance: Evidence from Limited Partner Private Equity Investments184 cited
    • 2017Local corporate social responsibility, media coverage, and shareholder value181 cited
    • 2011Institutional investment horizon and investment–cash flow sensitivity175 cited
    • 2014Geographic proximity and analyst coverage decisions: Evidence from IPOs172 cited
    • 2015Institutional herding in international markets161 cited
    • 2019Influence of Social Media Emotional Word of Mouth on Institutional Investors’ Decisions and Firm Value159 cited
    • 2017Do locals know better? A comparison of the performance of local and foreign institutional investors156 cited
    • 2021Social Proximity to Capital: Implications for Investors and Firms147 cited
    • 2023Green investment funds and corporate green innovation: From the logic of social value147 cited