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    Social capital and idiosyncratic return volatility

    Access Status
    Fulltext not available
    Authors
    Hasan, Mostafa
    Habib, A.
    Date
    2017
    Type
    Journal Article
    
    Metadata
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    Citation
    Hasan, M. and Habib, A. 2017. Social capital and idiosyncratic return volatility. Australian Journal of Management. 44 (1): pp. 3-31.
    Source Title
    Australian Journal of Management
    DOI
    10.1177/0312896217717573
    School
    Department of Finance and Banking
    URI
    http://hdl.handle.net/20.500.11937/56743
    Collection
    • Curtin Research Publications
    Abstract

    We examine whether regional social capital has any impact on idiosyncratic return volatility. Using US data, we find that firms headquartered in high social capital counties exhibit significantly lower idiosyncratic return volatility. This effect is more pronounced in the presence of financial reporting quality and corporate social responsibility. When we estimate the direct and indirect effects of social capital, our study reveals that the direct effect of social capital captures around 80% of the total effect. These findings suggest that firm-specific variables do not explain all of a firm’s idiosyncratic return volatility, but regional social capital also plays a role.

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