We examine information spillover as a source of stock return synchronicity, where information about highly-followed "prominent" stocks is used to price other "neglected" stocks sharing a common fundamental component. We find that stocks followed by few analysts co-move significantly with...

Roll [1988] observes low R2 statistics for common asset pricing models due to vigorous firms-specific return variation not associated with public information. He concludes (p. 56) that this implies quot;either private information or else occasional frenzy unrelated to concrete information.quot;...

We document a robust cross-sectional positive association across industries between a measure of the economic efficiency of corporate investment and the magnitude of firm-specific variation in stock returns. This finding is interesting for two reasons, neither of which is a priori obvious....

Roll (1988) observes low R2 statistics for common asset pricing models due to vigorous firms-specific returns variation not associated with public information. He concludes (p. 56) that this implies quot;either private information or else occasional frenzy unrelated to concrete information.quot;...

Firm specific information has a damped effect on business group firms' stock prices. Business group affiliated firms' idiosyncratic stock returns are less responsive to idiosyncratic commodity price shocks than are the idiosyncratic returns of otherwise similar unaffiliated firms in the same...

"Control of corporate assets by wealthy families in economies lacking institutional integrity is common. It has negative implications on corporate governance and adverse macroeconomic effects when it extends across a sufficiently large part of the country's corporate sector. Morck and Yeung...