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Stock price synchronicity and public firm-specificinformation

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  • Xing, Xuejing
  • Anderson, Randy
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    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.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Markets.

    Volume (Year): 14 (2011)
    Issue (Month): 2 (May)
    Pages: 259-276

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    Handle: RePEc:eee:finmar:v:14:y:2011:i:2:p:259-276

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    Web page: http://www.elsevier.com/locate/finmar

    Related research

    Keywords: Stock price synchronicity R-squared Firm-specific information Voluntary disclosure Self-selection;

    References

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