Stock price synchronicity and public firm-specific information
Abbreviated Journal Title
J. Financ. Mark.
Stock price synchronicity; R-squared; Firm-specific information; Voluntary disclosure; Self-selection; IDIOSYNCRATIC VOLATILITY; ANALYST COVERAGE; EMERGING MARKETS; BAD-NEWS; INVESTMENT; STRATEGIES; DISCLOSURE; BEHAVIOR; RISK; Business, Finance
How stock price synchronicity mirrors firm-specific information has been a subject of much debate. We posit that price synchronicity can be low in either good or bad firm-specific information environments because stock prices incorporate both public and private information. Using three proxies for the cross-sectional variations in public firm-specific information and a large sample, we provide evidence supporting an inversely U-shaped relation between synchronicity and public information. Our results help reconcile the conflicting findings of previous studies and cast doubt on the validity of stock price synchronicity as a uniform indicator of the quality of a firm's information environment. (C) 2010 Elsevier B.V. All rights reserved.
Journal of Financial Markets
"Stock price synchronicity and public firm-specific information" (2011). Faculty Bibliography 2010s. 2124.