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Firm Headquarters Location, Ownership Structure, and Stock Return Co-movements

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发布日期：2014年01月04日上次修订日期：2014年01月04日

Donghui Li The University of New South Wales Li Liao Tsinghua University Yuanhang Luo Tsinghua University Xueyong Zhang Central University of Finance and Economics

摘要

This paper investigates the link between firm headquarters location and firm stock return co-movements in a sample of Chinese firms spanning the years 1999 to 2007. The empirical results show a strong co-movement pattern of firms located in the same province. Moreover, both firm-level and provincial-level factors are found to influence this co-movement, including firm size and ownership structure at firm level and GDP per capita and financial depth at provincial level. A subsample of firms listed in the Shenzhen Stock Exchange shows that better firm-level information quality reduces local co-movements.

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关键词：

Local Co-movements Ownership Structure Emerging Markets

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