Does Firm Geographic Location Matter to Stock Market Efficiency?

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dc.contributor.authorSaadi, Samir
dc.contributor.authorNi, Yang
dc.contributor.authorChkir, Imed
dc.date.accessioned2011-01-05T14:12:48Z
dc.date.available2011-01-05T14:12:48Z
dc.date.created2011
dc.date.issued2011-01-05
dc.identifier.otherWP.11.01
dc.identifier.urihttp://hdl.handle.net/10393/19686
dc.identifier.urihttp://dx.doi.org/10.20381/ruor-2580
dc.descriptionLe texte intégral de ce document de travail n'est pas disponible en ligne. Pour plus de renseignements sur ce document, veuillez communiquer avec la Direction de la recherche de l'École de gestion Telfer à l'adresse recherche@telfer.uottawa.ca. // The full text of this working paper is not available online. For more information regarding this working paper, please contact the Telfer School of Management Research Office at research@telfer.uottawa.ca.
dc.description.abstractThis paper builds on recent and growing evidence that firms’ as well investors’ geographic locations influence information diffusion and re-examines the mixed results in the efficient market hypothesis within the U.S. stock market. We hypothesize that returns on a portfolio (such as stock market index) composed of firms located in urban areas are more likely to follow random walk than returns on portfolio composed of firms located in urban areas. Using a battery of variance ration tests, we find strong and robust support for our prediction. In particular, we report that the returns on a portfolio composed of the 500 largest urban firms follow random walk, however all variance ratio tests reject the random walk hypothesis for portfolio that includes the 500 largest rural firms.
dc.titleDoes Firm Geographic Location Matter to Stock Market Efficiency?
CollectionTelfer - Documents de travail // Telfer - Working Papers

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