全球智库信息集成服务系统(G2TT): R-Squared Around the World: New Theory and New Tests

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w10453
来源ID	Working Paper 10453
	R-Squared Around the World: New Theory and New Tests
	Li Jin; Stewart C. Myers
发表日期	2004-04-26
出版年	2004
语种	英语
摘要	Morck, Yeung and Yu (MYY, 2000) show that R2 and other measures of stock market synchronicity are higher in countries with less developed financial systems and poorer corporate governance. MYY and Campbell, Lettau, Malkiel and Xu (2001) also find a secular decline in R2 in the United States over the last century. We develop a model that explains these results and generates additional testable hypotheses. The model shows how control rights and information affect the division of risk-bearing between inside managers and outside investors. Insiders capture part of the firm's operating cash flows. The limits to capture are based on outside investors' perception of the value of the firm. The firm is not completely transparent, however. Lack of transparency shifts firm-specific risk to insiders and reduces the amount of firm-specific risk absorbed by outside investors. Our model also predicts that opaque' stocks are more likely to crash, that is, to deliver large negative returns. Crashes occur when insiders have to absorb too much firm-specific bad news and decide to give up.' We test these predictions using stock returns from all major stock markets from 1990 to 2001. We find strong positive relationships between R2 and several measures of opaqueness. These measures also explain the frequency of large negative returns.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w10453
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/568082
推荐引用方式 GB/T 7714	Li Jin,Stewart C. Myers. R-Squared Around the World: New Theory and New Tests. 2004.

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
w10453.pdf（797KB）	智库出版物		限制开放	CC BY-NC-SA	浏览