Item Type |
Journal paper
|
Abstract |
We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational firms worldwide. Using an international sample of firms from 22 developed countries, we find that a portfolio strategy based on firms' foreign sales information yields future returns of more than 10% p.a. globally. The return spread due to foreign information is substantial across different geographical regions and cannot be explained by traditional risk factors, firm characteristics, and industry momentum. Our results are in line with limited attention of investors being the main driver of this effect worldwide. |
Authors |
Finke, Christian & Weigert, Florian |
Journal or Publication Title |
Review of Finance |
Language |
English |
Keywords |
Foreign information, return predictability, limited attention |
Subjects |
business studies finance |
HSG Classification |
contribution to scientific community |
HSG Profile Area |
SEPS - Economic Policy |
Refereed |
Yes |
Date |
October 2017 |
Publisher |
Oxford Univ. Press |
Place of Publication |
Oxford |
Series Name |
School of Finance Working Paper Series |
Volume |
21 |
Number |
6 |
Page Range |
2199-2248 |
ISSN |
1572-3097 |
ISSN-Digital |
1875-824X |
Publisher DOI |
https://doi.org/10.1093/rof/rfw070 |
Depositing User |
PD Dr. Florian Weigert
|
Date Deposited |
24 Sep 2015 14:18 |
Last Modified |
20 Jul 2022 17:25 |
URI: |
https://www.alexandria.unisg.ch/publications/244137 |