We investigate the impact of potential information hiding or disclosure delay originated from private subsidiaries on the future returns of their public parent firms. We find a significantly positive link between private subsidiaries' information disclosure (PSID) and the cross-section of future...

Using global cross-firm ownership data, we find that both stock returns and cash-flow news of ownership-linked firms predict focal firm’s returns for all four types of ownership structures: subsidiary−parent, parent−subsidiary, subsidiary−subsidiary, and parent−parent. These results...

Unlike traditional asset categories (e.g., industry classifications) that are generally defined clearly, some groups of stocks are tied to a certain loosely defined “concept” (e.g., e-commerce). When investors find it difficult to analyze ambiguous concept-oriented information, information...

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock market returns. We employ the innovations in implied volatility indices of seven major international markets as our international volatility risk proxies. We find that...