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

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.