Institutional Cross-Ownership of Peer Firms and Revelatory Price Efficiency
研究发现机构交叉持股能增加股价中的私有信息，提高股价对管理者的反馈作用，表现为投资对q的敏感性增强，且对自愿披露少或管理者信息少的公司影响更大。
Abstract We argue that cross-ownership increases the amount of private information in stock prices, enhancing the ability of stock prices to provide feedback to managers. Consistent with this argument, we find greater cross-ownership heightens a firm’s investment- q sensitivity. This effect is stronger for firms with a lower propensity for voluntary disclosure and for firms whose managers hold less private information. Furthermore, we find that cross-ownership is negatively associated with the sensitivity of a firm’s investment to its peers’ stock prices. Additionally, cross-ownership has a stronger impact on the investment- q sensitivity when measured among investors who trade more actively in the firm’s shares. By using financial institution mergers as an identification strategy, we strengthen the causal inference. Overall, our results suggest that cross-ownership helps increase revelatory price efficiency (RPE), potentially leading to more efficient corporate decisions.