Information dissemination and price discovery

Haifa Amairi, Ahlem Zantour and Samir Saadi

Finance Research Letters, 2021, vol. 38, issue C

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.

Keywords: Market efficiency; Random walk; Information asymmetry; Geographic location; Variance ratio (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319314424

DOI: 10.1016/j.frl.2020.101482

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