Geographic Dispersion of Investors and Price Discovery around Earnings Announcements.
dc.contributor.author | Chen, Jason Victor | |
dc.date.accessioned | 2016-06-10T19:31:54Z | |
dc.date.available | NO_RESTRICTION | |
dc.date.available | 2016-06-10T19:31:54Z | |
dc.date.issued | 2016 | |
dc.date.submitted | 2016 | |
dc.identifier.uri | https://hdl.handle.net/2027.42/120793 | |
dc.description.abstract | Past research has documented a geographic role in the information available to investors. Specifically, studies have shown that value relevant information available to investors differs across locations and that it is less costly for local investors to obtain local information. Drawing on this body of research, I examine the influence of investor geographic dispersion on the price discovery process around earnings announcements. In particular, I explore whether the geographic dispersion of investors leads to a greater diversity of information amongst investors and, by extension, greater information asymmetry, greater trading volume, and ultimately more informative price following earnings announcements. Consistent with my predictions, I find that firms whose investors are more geographically dispersed experience higher abnormal bid-ask spreads, lower abnormal market depth, higher abnormal illiquidity, higher abnormal trading volume, and lower price drift or reversal around quarterly earnings announcements. I further find that these results are more pronounced for firms with a greater geographic distribution of information. These findings contribute to our understanding of the role of investor dispersion in the price discovery process. | |
dc.language.iso | en_US | |
dc.subject | geography | |
dc.subject | earnings announcement | |
dc.subject | disagreement | |
dc.title | Geographic Dispersion of Investors and Price Discovery around Earnings Announcements. | |
dc.type | Thesis | en_US |
dc.description.thesisdegreename | PhD | |
dc.description.thesisdegreediscipline | Business Administration | |
dc.description.thesisdegreegrantor | University of Michigan, Horace H. Rackham School of Graduate Studies | |
dc.contributor.committeemember | Lehavy, Reuven | |
dc.contributor.committeemember | Masatlioglu, Yusuf Can | |
dc.contributor.committeemember | Li, Feng | |
dc.contributor.committeemember | Pasquarellio, Paolo | |
dc.contributor.committeemember | Maber, David A | |
dc.subject.hlbsecondlevel | Accounting | |
dc.subject.hlbtoplevel | Business and Economics | |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/120793/1/jvchen_1.pdf | |
dc.owningcollname | Dissertations and Theses (Ph.D. and Master's) |
Files in this item
Remediation of Harmful Language
The University of Michigan Library aims to describe library materials in a way that respects the people and communities who create, use, and are represented in our collections. Report harmful or offensive language in catalog records, finding aids, or elsewhere in our collections anonymously through our metadata feedback form. More information at Remediation of Harmful Language.
Accessibility
If you are unable to use this file in its current format, please select the Contact Us link and we can modify it to make it more accessible to you.