Far away from home: Investors' underreaction to geographically dispersed information

• Main Authors: CHEN, Zilin, CHU, Liya, LIANG, Dawei, Jun TU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Geographic peers; limited attention; material subsidiaries; return predictability; slow information diffusion; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/7200
• Institution: Singapore Management University

Using a novel data set to identify geographic peer firms based on the locations of both firms' headquarters and material subsidiaries, we show that returns on geographical peers have strong predictive power for focal firm returns. A value-weighted long-short strategy that buys stocks with the h...