Finance Faculty Publications and Presentations

Interstate migration networks and stock return comovement

Document Type

Article

Publication Date

Spring 2024

Abstract

We document sizable and robust excess return comovement between migration-flow receiving and sending states at the state-portfolio level. Migration comovement is not fully explained by economic fundamentals and strengthens with the size of the migration network. Consistent with the view that it is partially driven by correlated trading of a common investor base within migration networks, migration comovement a) increases substantially when there is an exogenous positive shock to migration flows, b) is greater with old firms in migration-sending states, and c) strengthens when retail investors display “old home” bias in addition to local bias.

Comments

© 2023 The Southern Finance Association and the Southwestern Finance Association.

https://onlinelibrary.wiley.com/share/PMIKUJNHEKVRVKPPRYZR?target=10.1111/jfir.12364

Publication Title

Journal of Financial Research

DOI

10.1111/jfir.12364

Link to Full Text

Share

COinS