Geographic links and predictable returns
利用美国上市公司分支机构数据构建地理关联指标，发现地理关联公司的收益能预测焦点公司的收益和基本面，且该效应在投资者关注度低、套利成本高时更强。
Abstract Using establishment‐level data of U.S. public firms, we construct a novel measure of geographic linkage between firms. We show that the returns of geography‐linked firms have strong predictive power for focal firm returns and fundamentals. This effect is distinct from other cross‐firm return predictability and is not easily attributable to risk‐based explanations. It is more pronounced for focal firms that receive lower investor attention, are more costly to arbitrage, and during high sentiment periods. The cross‐firm information spillovers and return predictability are also stronger for geographic peers with economic linkages and with positive information. Our results are broadly consistent with sluggish price adjustment to nuanced geographic information.