Which Explains Stock Return Co-movement better, Corporate Governance or Corporate Transparency? Evidence from R2 (in English)
Year: 2006 Volume: 56 Issue: 11 -12 Pages: 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.
JEL classification: F21, F23, F31, G14, G15, K22, K33, K42
Keywords: corporate governance; corporate transparency; private information acquisition; protection of property
RePEc: http://ideas.repec.org/a/fau/fauart/v56y2006i11-12p534-551.html
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