Investors Far and Near: Information Type and the Geography of Price Discovery
44 Pages Posted: 19 Nov 2021 Last revised: 11 Apr 2022
Date Written: April 8, 2022
Local (São Paulo) and global (New York) markets contribute significantly to information production and price discovery in dual-listed Brazilian shares, but their contribution varies over time. Local information shares increase on days when a stock experiences a significant idiosyncratic price swing, but do not similarly increase on earnings announcement days or on days when the whole local market experiences a significant price swing, despite equally large increases in trading. Traders in the local market seem to have an advantage in collecting and processing company-specific unscheduled information, but not widely disseminated scheduled information which affects the company or the whole market.
Keywords: Information asymmetry, Geographic location, Price discovery, Scheduled and unscheduled information
JEL Classification: G14, G15, G20
Suggested Citation: Suggested Citation