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Peer firms’ reporting frequency and stock price synchronicity: European evidence

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  • Haga, Jesper
  • Högholm, Kenneth
  • Sundvik, Dennis

Abstract

This study investigates whether and how the amount of firm-specific information incorporated into stock prices changes when there is more quarterly, rather than semi-annual, reporting in the peer group. Using a sample of 33,338 European firm-year observations from 2004 to 2017, we find a significantly negative relationship between stock price synchronicity and concentration of quarterly reporting among a firm’s peers. We argue that more public peer disclosure stimulates acquisition of private firm-specific information. Additional tests show that the negative relationship is strongest among firms with semi-annual reporting, opaque earnings, and low institutional ownership. We further decompose the synchronicity measure into market and industry co-movement and find that the former is decreasing while the latter is increasing with more frequent peer reporting.

Suggested Citation

  • Haga, Jesper & Högholm, Kenneth & Sundvik, Dennis, 2022. "Peer firms’ reporting frequency and stock price synchronicity: European evidence," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 49(C).
    • Handle: RePEc:eee:jiaata:v:49:y:2022:i:c:s106195182200060x
    DOI: 10.1016/j.intaccaudtax.2022.100505
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    More about this item

    Keywords

    Financial reporting frequency; Positive externalities; Stock price synchronicity;
    All these keywords.

    JEL classification:

    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • M48 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Government Policy and Regulation
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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