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Which Explains Stock Return Co-movement better, Corporate Governance or Corporate Transparency? Evidence from R2 (in English)

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Abstract

A hypothesis is examined in support of Jin and Myers (2006) using cross-country individual stock’s R2 (i.e., individual stock’s R2 are calculated from the market-model regression using each country’s market return and U.S. market returns). Consistent with Jin and Myers, R2 has consistently negative relationships with corporate-transparency variables in various regression equations after controlling for macroeconomic variables and skewness. Furthermore, R2 is more affected by corporate-transparency variables, especially the private-information-acquisition characteristic of corporate transparency. The effect of the protection of property right on R2 disappears when all the other variables are included.

Suggested Citation

  • Haksoon KIM, 2006. "Which Explains Stock Return Co-movement better, Corporate Governance or Corporate Transparency? Evidence from R2 (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(11-12), pages 534-551, November.
    • Handle: RePEc:fau:fauart:v:56:y:2006:i:11-12:p:534-551
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    More about this item

    Keywords

    corporate governance; corporate transparency; private information acquisition; protection of property rights and firm-specific risks;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F23 - International Economics - - International Factor Movements and International Business - - - Multinational Firms; International Business
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • K22 - Law and Economics - - Regulation and Business Law - - - Business and Securities Law
    • K33 - Law and Economics - - Other Substantive Areas of Law - - - International Law
    • K42 - Law and Economics - - Legal Procedure, the Legal System, and Illegal Behavior - - - Illegal Behavior and the Enforcement of Law

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