Yep, it's note making time again! I was just looking for papers on Market efficiency and the lack thereof and stumbled upon this:
Short version: Stocks that have headquarters in the same area tend to have higher correlations even though the location apparently (and this is crucial) have no impact on cash flow correlations.
In their words: "Moreover, stocks of companies that change their headquarters location experience a decrease in their comovement with stocks from the old location and an increase in their comovement with stocks from the new location. The local comovement of stock returns is not explained by economic fundamentals and is stronger for smaller firms with more individual investors and in regions with less financially sophisticated residents."
Interesting, but I am not TOTALLY convinced. But well worth a read!
JF version: (remember these only stay online for a while)
HQ Location matters by Pirinsky and Wang
SSRN also has a working paper version of the paper.