Home Away From Home: Geography of Information and Local Investors

69 Pages Posted: 21 Nov 2010 Last revised: 12 Nov 2013

See all articles by Gennaro (帅纳) Bernile

Gennaro (帅纳) Bernile

University of Miami - Department of Finance

Alok Kumar

University of Miami - Miami Herbert Business School

Johan Sulaeman

National University of Singapore (NUS) - Sustainable & Green Finance Institute (SGFIN); European Corporate Governance Institute (ECGI); Asian Bureau of Finance and Economic Research (ABFER)

Date Written: September 11, 2013

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.

Keywords: Multi-Dimensional Firm Location, Information Asymmetry, Local Informational Advantage

JEL Classification: D82, G11, G12, G20

Suggested Citation

Bernile, Gennaro (帅纳) and Kumar, Alok and Sulaeman, Johan, Home Away From Home: Geography of Information and Local Investors (September 11, 2013). 26th Australasian Finance and Banking Conference 2013, AFA 2012 Chicago Meetings Paper, 14th Annual Conference of Financial Economics and Accounting 2011, Available at SSRN: https://ssrn.com/abstract=1711653 or http://dx.doi.org/10.2139/ssrn.1711653

Gennaro (帅纳) Bernile

University of Miami - Department of Finance ( email )

P.O. Box 248094
Coral Gables, FL 33124-6552
United States

Alok Kumar

University of Miami - Miami Herbert Business School ( email )

517B Jenkins Building
Department of Finance
Coral Gables, FL 33124-6552
United States
305-284-1882 (Phone)

HOME PAGE: http://sites.google.com/view/alokmiami/home

Johan Sulaeman (Contact Author)

National University of Singapore (NUS) - Sustainable & Green Finance Institute (SGFIN) ( email )

Singapore

HOME PAGE: http://sites.google.com/site/johansulaeman/

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

HOME PAGE: http://https://ecgi.global/users/johan-sulaeman

Asian Bureau of Finance and Economic Research (ABFER) ( email )

BIZ 2 Storey 4, 04-05
1 Business Link
Singapore, 117592
Singapore

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