Mutual Funds and Information Diffusion: The Role of Country-Level Governance
研究发现，国家治理水平差时，公共信息不可靠，基金经理会更多使用半公开信息，这虽提高股价信息含量，但加剧信息不对称、降低流动性，并在金融危机中放大价格冲击和流动性紧缩。
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>.