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

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

The value of mandatory securities disclosure is intensely debated. Two big questions occupy much of the attention: Do more accurate share prices contribute to the efficient provision of goods and services in the economy? Even if they do, will mandatory disclosure effectively contribute to share...

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....

We show that firms in industries in which firm-specific stock price variation is larger use more external financing and allocate capital with greater precision in the sense that their marginal q ratios are closer to one. According to the Efficient Markets Hypothesis, greater firm-specific stock...

This study explores the spillover effects of the tone of restatement press releases for the investments of rival firms. Our results show that changes in rivals' investments after a restatement are significantly positively associated with the tone of restatement press releases, and that this...

We propose a new channel through which expropriation risk reduces capital allocation efficiency and decreases firm growth. We build an agency model of corporate disclosure when companies face risks of expropriation. The model predicts that in countries with insecure property rights, corporations...

We examine firm governance choices and firm valuation in the presence of expropriation risk. We argue that firms have fewer incentives to practice good governance and disclose more information when the state is likely to expropriate firm profits. We empirically confirm our arguments using...

In countries with secure property rights, corporate transparency improves investment efficiency and increases growth by alleviating information asymmetry. However, in countries with insecure property rights, greater transparency can increase the risk of government expropriation and lower the...