This paper explores the role of asymmetric information in asset pricing using geography as a lens. It finds that active mutual fund managers overweight proximate firms in their portfolios and earn abnormal returns from local holdings. These effects are more pronounced in smaller, less concentrated funds operating in remote locations. The study uses the fraction of a stock's shares held by local investors as a measure of information asymmetry, finding that local ownership is positively related to expected returns, even after controlling for other factors. This suggests that informed trading is linked to asset prices. The paper challenges the assumption in traditional asset pricing models that investors are perfectly informed. Instead, it argues that geographic proximity provides an informational advantage, allowing local investors to have better information about nearby firms. This leads to higher expected returns for firms with significant local ownership. The study also finds that local fund managers outperform distant counterparts, and that local stocks are more likely to be held by local funds. The research uses geographic proximity as a proxy for investor information quality, analyzing the performance of mutual funds over 20 years. It finds that local holdings generate significant abnormal returns, with the effect being strongest in funds based in remote locations, funds with low asset values and concentrated holdings, and funds focused on small, growth stocks. Local stocks not held by local funds underperform passive benchmarks, further supporting the informational advantage of local investors. The study also examines the relationship between fund trading activity and geographic investment, finding that mutual fund managers follow the herd in distant holdings but break away in local investments, consistent with superior local information. The results suggest that geographic proximity is a significant factor in investor information and asset pricing, with local investors having an informational advantage that translates into higher returns. The paper concludes that geographic proximity is a useful tool for identifying informed trading and that local investors have a significant informational advantage in local stocks. This has important implications for understanding the role of asymmetric information in asset pricing and the behavior of informed investors.This paper explores the role of asymmetric information in asset pricing using geography as a lens. It finds that active mutual fund managers overweight proximate firms in their portfolios and earn abnormal returns from local holdings. These effects are more pronounced in smaller, less concentrated funds operating in remote locations. The study uses the fraction of a stock's shares held by local investors as a measure of information asymmetry, finding that local ownership is positively related to expected returns, even after controlling for other factors. This suggests that informed trading is linked to asset prices. The paper challenges the assumption in traditional asset pricing models that investors are perfectly informed. Instead, it argues that geographic proximity provides an informational advantage, allowing local investors to have better information about nearby firms. This leads to higher expected returns for firms with significant local ownership. The study also finds that local fund managers outperform distant counterparts, and that local stocks are more likely to be held by local funds. The research uses geographic proximity as a proxy for investor information quality, analyzing the performance of mutual funds over 20 years. It finds that local holdings generate significant abnormal returns, with the effect being strongest in funds based in remote locations, funds with low asset values and concentrated holdings, and funds focused on small, growth stocks. Local stocks not held by local funds underperform passive benchmarks, further supporting the informational advantage of local investors. The study also examines the relationship between fund trading activity and geographic investment, finding that mutual fund managers follow the herd in distant holdings but break away in local investments, consistent with superior local information. The results suggest that geographic proximity is a significant factor in investor information and asset pricing, with local investors having an informational advantage that translates into higher returns. The paper concludes that geographic proximity is a useful tool for identifying informed trading and that local investors have a significant informational advantage in local stocks. This has important implications for understanding the role of asymmetric information in asset pricing and the behavior of informed investors.