Does Foreign Information Predict the Returns of Multinational Firms Worldwide?
Journal
Review of Finance
Series
School of Finance Working Paper Series
ISSN
1572-3097
ISSN-Digital
1875-824X
Type
journal article
Date Issued
2017-10
Author(s)
Abstract
We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational firms worldwide. Using an international sample of firms from 22 developed countries, we find that a portfolio strategy based on firms' foreign sales information yields future returns of more than 10% p.a. globally. The return spread due to foreign information is substantial across different geographical regions and cannot be explained by traditional risk factors, firm characteristics, and industry momentum. Our results are in line with limited attention of investors being the main driver of this effect worldwide.
Language
English
Keywords
Foreign information
return predictability
limited attention
HSG Classification
contribution to scientific community
HSG Profile Area
SEPS - Economic Policy
Refereed
Yes
Publisher
Oxford Univ. Press
Publisher place
Oxford
Volume
21
Number
6
Start page
2199
End page
2248
Subject(s)
Eprints ID
244137
File(s)![Thumbnail Image]()
Name
Foreign Information 20161027.pdf
Size
1.09 MB
Format
Adobe PDF
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