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Information dissemination and price discovery

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  • Amairi, Haifa
  • Zantour, Ahlem
  • Saadi, Samir

Abstract

Using portfolios constructed based on stocks’ geographic location from Russell-3000 index, we find strong and reliable evidence that contrary to stocks of firms headquartered in central areas, stocks of firms headquartered in remote areas do not follow a random walk and are thus informationally inefficient. Our findings are in line with the growing evidence showing that geographic proximity matters to the speed of information diffusion and the price discovery mechanism. Our results are not sensitive to how our portfolios are constructed, to how geographic proximity is measured, to the sample period examined, and to the frequency of return data used.

Suggested Citation

  • Amairi, Haifa & Zantour, Ahlem & Saadi, Samir, 2021. "Information dissemination and price discovery," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319314424
    DOI: 10.1016/j.frl.2020.101482
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    Cited by:

    1. Baek, Chaeyoon & Baek, Seungho & Glambosky, Mina, 2024. "Macroeconomic impact and stock returns' vulnerability by size, solvency, and financial distress," Finance Research Letters, Elsevier, vol. 59(C).

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    More about this item

    Keywords

    Market efficiency; Random walk; Information asymmetry; Geographic location; Variance ratio;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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