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We show that the quality of information-sharing networks linking firms’ institutional investors has stock return predictability implications. We find that firms with high shareholder coordination experience less local comovement and less post-earnings announcement drift, consistent with the notion that information-sharing networks facilitate information diffusion and improve stock price efficiency. In support of the view that coordination acts as an information diffusion channel, we document that the stock return performance of firms with high shareholder coordination leads that of firms with low shareholder coordination.
Pantzalis, Christos and Wang, Bin, "Shareholder Coordination, Information Diffusion and Stock Returns" (2017). Finance Faculty Research and Publications. 160.
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