A professor at the Schulich School of Business, York University in Toronto has been honoured along with his co-authors by the International Review of Finance (IRF).

Kee-Hong Bae, Robert Finlayson Chair in International Finance and finance professor at Schulich, with co-authors Jin-Mo Kim and Yang Ni, has been awarded the US$10,000 best paper prize by the IRF for “Is Firm-specific Return Variation a Measure of Information Efficiency?”, the best submission received in 2013.

The paper examines the controversial issue of whether firm-specific return variation measures the private information reflected in stock returns or trading noise.

Using a firm’s geographic proximity to its investors as a proxy for a firm’s private information, the authoris investigated the relation between firm-specific return variation and price informativeness.

They found that firms located in metropolitan areas experience higher firm-specific return variation and that holdings and trading by local institutional investors positively affect firm-specific return variation.

These findings suggest that higher firm-specific return variation is indicative of more informative stock prices, the authors say.

The article was published in the December 2013 issue of International Review of Finance.