Title

Stock price synchronicity and public firm-specific information

Authors

Authors

X. J. Xing;R. Anderson

Comments

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Abbreviated Journal Title

J. Financ. Mark.

Keywords

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

Abstract

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 Title

Journal of Financial Markets

Volume

14

Issue/Number

2

Publication Date

1-1-2011

Document Type

Article

Language

English

First Page

259

Last Page

276

WOS Identifier

WOS:000286356100003

ISSN

1386-4181

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