There is no place like home: Information asymmetries, local asset concentration, and portfolio returns
利用商业地产数据，研究发现本地信息优势能解释本地资产集中与超额回报的关系，尤其在信息不对称严重的市场中更为显著。
Abstract Using a unique setting with significant cross‐market information asymmetries and a large sample of individual commercial property holdings, we provide robust evidence showing that local information plays a significant role in the linkage between local asset concentrations and return outperformance. We further document a significant positive relation between local asset concentration and portfolio returns in markets where information asymmetry is most severe. Two novel identification strategies that exploit a local lender's ability to price the local investor's information advantage and exogenous variation in sales price disclosure laws across states confirm an information‐based effect that is distinct from risk‐based or behavioral explanations.