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	Agglomeration Economies and Local Comovement of Stock Returns
	Shihe Fu ; Liwei Shan
	2013-11-08
出处	http://www.wise.xmu.edu.cn/paperInfor.asp?id=218
关键词	Stock returns Local bias Agglomeration economies JEL Classification: G1 R1 R3
英文摘要	Existing studies in finance have documented the comovement of stock returns of companies headquartered in the same location. The interpretation is that local investors have a “local bias” due to an information advantage on local companies. This paper argues that localized agglomeration economies affect the fundamentals of local companies, resulting in the local comovement of stock returns. Using the data for China A-share listed companies from 1997-2007, we confirm the local comovement of stock returns of companies headquartered in the same city; moreover, the stock returns of a company headquartered in a city with stronger agglomeration economies are also correlated more highly with stock returns of other companies headquartered in the same city. The local comovement of earnings among companies headquartered in the same city is also found, and the local comovement of stock returns is correlated with the local comovement of earnings. We conclude that correlated local fundamentals due to localized agglomeration economies can explain the local comovement of stock returns.
语种	中文
内容类型	研究报告
源URL	[http://dspace.xmu.edu.cn/handle/2288/56788]
专题	王亚南院－工作文稿
推荐引用方式 GB/T 7714	Shihe Fu,Liwei Shan. Agglomeration Economies and Local Comovement of Stock Returns. 2013.

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