Which Explains Stock Return Co-movement better, Corporate Governance or Corporate Transparency? Evidence from R2 (in English)

Haksoon Kim

Czech Journal of Economics and Finance (Finance a uver), 2006, vol. 56, issue 11-12, 534-551

Abstract: A hypothesis is examined in support of Jin and Myers (2006) using cross-country individual stock’s R2 (i.e., individual stock’s R2 are calculated from the market-model regression using each country’s market return and U.S. market returns). Consistent with Jin and Myers, R2 has consistently negative relationships with corporate-transparency variables in various regression equations after controlling for macroeconomic variables and skewness. Furthermore, R2 is more affected by corporate-transparency variables, especially the private-information-acquisition characteristic of corporate transparency. The effect of the protection of property right on R2 disappears when all the other variables are included.

Keywords: corporate governance; corporate transparency; private information acquisition; protection of property rights and firm-specific risks (search for similar items in EconPapers)
JEL-codes: F21 F23 F31 G14 G15 K22 K33 K42 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:fau:fauart:v:56:y:2006:i:11-12:p:534-551

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