Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/3675
Título: The use of the R2 as a measure of firm-specific information: A cross-country critique
Autor: Alves, P.
Peasnell, Ken
Taylor, Paul
Palavras-chave: Information

firm-specific information
market-wide information
cross-country information environment
Data: 2009
Citação: Working Papers Management. nº 2. 2009. 30p. Available at RePEc - Econpapers at: http://econpapers.repec.org/paper/capmpaper/
Resumo: Recent research uses the degree of stock returns co-movement as a measure of the quality of a country’s information environment. It has been argued that stronger property rights, better corporate governance regimes and more efficient enforcement mechanisms lead to prices incorporating more firm-specific information and, therefore, co-moving less with the market. In this paper, we use a much more comprehensive international data set than in prior research, encompassing forty countries over twenty years, to evaluate the reliability of this approach in a crosscountry setting and to analyse the behaviour of the measure used. Our results demonstrate severe limitations in the use of co-movement as measure of information quality. We highlight the instability of the measure and show that it can produce results that are often difficult to reconcile with such an informational explanation.
URI: http://hdl.handle.net/10400.14/3675
Aparece nas colecções:FEG - Documento de trabalho / Working Paper

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