Stock price synchronicity and public firm-specificinformation
AbstractHow 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 InfoArticle provided by Elsevier in its journal Journal of Financial Markets.
Volume (Year): 14 (2011)
Issue (Month): 2 (May)
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Web page: http://www.elsevier.com/locate/finmar
Stock price synchronicity R-squared Firm-specific information Voluntary disclosure Self-selection;
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