Studia con noi
Istituto di finanza
Data: / -
Tema del seminario: "BUSINESS GROUPS AND THE INCORPORATION OF FIRM-SPECIFIC SHOCKS INTO STOCK PRICES"
Prof Randall Morck, University of Alberta
12:25 - 13:40
Auditorium (stabile principale, 3° livello)
Campus di Lugano
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-indifference tests exploiting successful and matched-exogenously-failed control block transactions.