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Business Groups and the Incorporation of Firm-specific Shocks into Stock Prices / Mara Faccio, Randall Morck, M. Deniz Yavuz.
- Format:
- Book
- Author/Creator:
- Faccio, Mara.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w25908.
- NBER working paper series no. w25908
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2019.
- Summary:
- 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.
- Notes:
- Print version record
- May 2019.
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