| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25908 |
| 来源ID | Working Paper 25908 |
| Business Groups and the Incorporation of Firm-specific Shocks into Stock Prices | |
| Mara Faccio; Randall Morck; M. Deniz Yavuz | |
| 发表日期 | 2019-06-03 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | In lower-income economies, stocks exhibit less idiosyncratic volatility and business groups are more prevalent. This study connects these two findings by showing that business group affiliated firms’ stock returns exhibit less idiosyncratic volatility than do the returns of otherwise similar unaffiliated firms. Global commodity price shocks are common shocks that contribute to firm-level idiosyncratic risk because they affect industries heterogeneously. Idiosyncratic components of commodity shocks are incorporated less into idiosyncratic returns of group affiliates than unaffiliated firms in the same industry and economy. Identification follows from difference-in-difference tests exploiting successful and matched-exogenously-failed control block transactions. |
| 主题 | Financial Economics ; Financial Markets ; Corporate Finance ; Other ; Accounting, Marketing, and Personnel |
| URL | https://www.nber.org/papers/w25908 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583582 |
| 推荐引用方式 GB/T 7714 | Mara Faccio,Randall Morck,M. Deniz Yavuz. Business Groups and the Incorporation of Firm-specific Shocks into Stock Prices. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25908.pdf（881KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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