This paper explores the role of asymmetric information in asset pricing by examining the impact of geographic proximity on investment decisions and returns. The authors find that active mutual fund managers tend to overweight proximate firms in their portfolios, leading to substantial abnormal returns in local holdings. These findings are more pronounced among small, low-asset-value funds and those operating in remote locations. The study also measures the degree of local ownership as a proxy for information asymmetry and finds a positive relationship between local ownership and expected returns, even after controlling for other factors. The results provide new evidence of informed trading and establish a link between such trading and asset prices. The paper further analyzes the economic significance of local equity preference, the performance of local versus distant holdings, and the relative performance of local stocks not held by local funds, reinforcing the role of geographic proximity in investor informativeness.This paper explores the role of asymmetric information in asset pricing by examining the impact of geographic proximity on investment decisions and returns. The authors find that active mutual fund managers tend to overweight proximate firms in their portfolios, leading to substantial abnormal returns in local holdings. These findings are more pronounced among small, low-asset-value funds and those operating in remote locations. The study also measures the degree of local ownership as a proxy for information asymmetry and finds a positive relationship between local ownership and expected returns, even after controlling for other factors. The results provide new evidence of informed trading and establish a link between such trading and asset prices. The paper further analyzes the economic significance of local equity preference, the performance of local versus distant holdings, and the relative performance of local stocks not held by local funds, reinforcing the role of geographic proximity in investor informativeness.