Revisiting the question - Does corporate headquarters location matter for stock returns?

Kenneth Moon and James LeSage

Applied Economics Letters, 2011, vol. 18, issue 6, 505-508

Abstract: We show that the ordinary least squares applied to right-hand-side variables consisting of averages of neighbouring observations such as stock returns representing a portfolio of firms in the same location or industry result in biased and inconsistent estimates. A maximum likelihood estimation procedure that will produce consistent estimates for this type of model is set forth. In addition, we show how to correctly interpret the maximum likelihood parameter estimates.

Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:18:y:2011:i:6:p:505-508

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DOI: 10.1080/13504851003761780

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