Business groups and the incorporation of firm-specific shocks into stock prices

被引：18

作者：

Faccio, Mara ^{[1
,2
,3
,4
]}

Morck, Randall ^{[2
,3
,4
,5
]}

Yavuz, M. Deniz ^{[1
]}

机构：

[1] Purdue Univ, Krannert Sch Management, 403 W State St, W Lafayette, IN 47907 USA

[2] NUS Business Sch, Asian Bur Finance & Econ Res, BIZ 2 Storey 4,04-05 1 Business Link 117592, Singapore, Singapore

[3] Royal Acad Belgium, Palace Acad, European Corp Governance Inst, Rue Ducale 1 Hertogsstr, B-1000 Brussels, Belgium

[4] Natl Bur Econ Res, 1050 Massachusetts Ave, Cambridge, MA 02138 USA

[5] Univ Alberta, Alberta Sch Business, 4-20K Business Bldg, Edmonton, AB T6G 2R6, Canada

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2021年 / 139卷 / 03期

关键词：

Business groups; Incorporation of firm-specific information; Economic growth;

D O I：

10.1016/j.jfineco.2020.09.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Firm-specific information has a damped effect on business group-affiliated firms' stock prices. Such firms' idiosyncratic stock returns are less responsive to idiosyncratic commodity price shocks than are the idiosyncratic returns of otherwise similar unaffiliated firms in the same country and commodity-sensitive industry. Using global commodity shocks means we assess responses to common idiosyncratic shocks of the same magnitude, frequency, and observability. Further identification follows from difference-in-difference tests exploiting successful and matched exogenously failed control block transactions. We conclude that business group firms' stock prices provide less firm-specific information to capital providers and managers. (C) 2020 Elsevier B.V. All rights reserved.

引用

页码：852 / 871

页数：20

共 61 条

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