Title

Stock Price Synchronicity And Public Firm-Specificinformation

Keywords

Firm-specific information; G14; M41; R-squared; Self-selection; Stock price synchronicity; Voluntary disclosure

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. © 2010 Elsevier B.V.

Publication Date

5-1-2011

Publication Title

Journal of Financial Markets

Volume

14

Issue

2

Number of Pages

259-276

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.finmar.2010.10.001

Socpus ID

78650789017 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/78650789017

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