Thinking Outside the Borders: Investors' Underreaction to Foreign Operations Information
利用外国市场行业回报，研究美国跨国公司股价对外国信息的反应滞后，发现每月可获0.8%异常收益，且媒体关注度低、语言文化差异大时反应更慢。
I use industry-level returns in foreign markets to examine the hypothesis that value-relevant foreign information slowly diffuses into the stock prices of U.S. multinational firms. A trading strategy that exploits foreign information generates abnormal returns of 0.8% monthly. I find that the market responds more slowly in periods with lower media coverage of foreign news and to information from more linguistically and culturally distant countries. These results suggest that both investors' inattention and lack of understanding of foreign information slow the incorporation of new information into prices. I further separate these two mechanisms by examining market responses to earnings surprises.