Investor Visibility Events: Cross-Country Evidence

This paper examines an investor visibility event, a high volume shock, across countries to determine whether the event is pervasive and whether systematic differences across countries and firms affect the magnitude of the resulting return premium. Paper finds that the high volume return premium is a persistent phenomenon found in both developed and emerging markets. Using Merton's (1987) investor recognition hypothesis as a guide, and find the magnitude of the premium is associated with country and firm characteristics hypothesized to affect returns subsequent to a change in a stock's visibility.