Mara Faccio
Purdue University, Krannert School of Management

Abstract:

In lower income economies, stocks exhibit less idiosyncratic volatility and business groups are more prevalent. This study connects these two findings by showing that business group affiliated firms’ stock returns exhibit less idiosyncratic volatility than do the returns of unaffiliated firms. We use idiosyncratic shocks to global commodity prices to hold the characteristics of shocks constant across firms. We show that idiosyncratic commodity shocks are incorporated less into idiosyncratic returns of group affiliates than unaffiliated firms in the same industry and economy. Identification follows from difference-in-difference tests exploiting successful and matched-exogenously-failed control block transactions.

Mara Faccio‘s research interest is in international finance. Her research has appeared in a variety of academic journals including the American Economic Review, the Journal of Finance, the Journal of Financial Economics, the Review of Financial Studies, the Journal of Financial and Quantitative Analysis, the Journal of Corporate Finance, and the Journal of Accounting and Economics. Faccio is a Research Associate of the National Bureau of Economic Research, a Senior Fellow of the Asian Bureau of Finance and Economics Research, and a Research Associate of the European Corporate Governance Institute. She is the Duke Realty Chair in Finance & Professor of Management (Finance) at Purdue University, Krannert School of Management. Prior to joining the Krannert faculty in 2007, Faccio was a faculty member at Vanderbilt University (2003-2007), the University of Notre Dame (2001-2003), and Università Cattolica, Milan (1999-2001).

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Department of Management, Economics and Industrial Engineering
Building B26/B – Room 0.1 – Ground floor
Via Lambruschini 4/B, Milano