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- W2990400474 abstract "Purpose The purpose of this study is to investigate the effect of corruption on stock returns in the USA. In particular, this study examines the relationship between corruption in a state (i.e. local corruption) and stock returns of firms headquartered in that state (i.e. local returns). Design/methodology/approach This paper uses the Fama–MacBeth two-step regressions. In the first step, the authors estimate the coefficients on the market, size, value and momentum factors for individual stocks. In the second step, they use those coefficients along with the corruption score of the state where stocks are headquartered to explain stock returns. Findings This paper finds that corruption in a state adversely affects stock returns of firms headquartered in that state. It further documents that the effect of corruption on stock returns is limited to geographically concentrated firms. Originality/value To the best of the authors’ knowledge, this paper is the first to document the effect of state-level corruption on individual stock returns in the USA using the Fama–MacBeth regressions. This study contributes to the literature by documenting the effect of local corruption on local stock returns in a low corruption country." @default.
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- W2990400474 date "2019-10-07" @default.
- W2990400474 modified "2023-10-14" @default.
- W2990400474 title "Local corruption and local stock returns" @default.
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- W2990400474 doi "https://doi.org/10.1108/jfc-01-2018-0011" @default.
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