Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/107790
Authors: 
Lin, Chunmei
Massa, Massimo
Zhang, Hong
Year of Publication: 
2014
Series/Report no.: 
Tinbergen Institute Discussion Paper 14-079/IV/DSF76
Abstract: 
We hypothesize that poor country-level governance, which makes public information less reliable, induces fund managers to increase their use of semi-public information. Utilizing data from international mutual funds and stocks over the 2000-2009 period, we find that semi-public information-related stock rebalancing can be five times higher in countries with the worst quality of governance than in countries with the best. The use of semi-public information increases price informativeness but also increases information asymmetry and reduces stock liquidity. It also intensifies the price impact and liquidity crunch during the recent global financial crisis. This paper was accepted for publication in the <I>Review of Financial Studies</I>.
Subjects: 
Mutual Funds
Information Diffusion
Country-Level Governance
Semi-public Information
Liquidity
JEL: 
G15
Document Type: 
Working Paper

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