Stock price synchronicity and public firm-specific information

    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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