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Illiquidity and the Measurement of Stock Price Synchronicity

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  • Joachim Gassen
  • Hollis A. Skaife
  • David Veenman

Abstract

This paper demonstrates that measures of stock price synchronicity based on market model R2s are predictably biased downward as a result of stock illiquidity, and that previously employed remedies to correct market model betas for measurement bias do not fix R2. Using a large international sample of firm‐years, we find strong negative and nonlinear relations between illiquidity and R2 across countries, across firms, and over time. Because variables of interest frequently relate to illiquidity as well, we illustrate the consequences of not controlling for illiquidity in synchronicity research. More generally, we demonstrate the importance of using nonlinear control variable methods. Overall, we conclude that the illiquidity‐driven measurement bias in R2 provides an explanation for why prior research finds low‐R2 firms to have weak information environments, and suggest future research carefully evaluate the sensitivity of its results to nonlinear controls for illiquidity. Illiquidité et mesure de la synchronicité du cours des actions Les auteurs démontrent que les mesures de la synchronicité du cours des actions basées sur les R2 du modèle de marché sont biaisées vers le bas en raison de l'illiquidité des actions, et que les solutions utilisées jusqu'à maintenant pour corriger les coefficients bêta du modèle de marché de manière à tenir compte du biais de ces mesures n'ont pas résolu la question du coefficient R2. L'étude d'un vaste échantillon international d'observations société‐année à laquelle procèdent les auteurs les amène à constater l'existence de fortes relations négatives et non linéaires entre l'illiquidité et le coefficient R2 dans l'ensemble des pays, dans l'ensemble des sociétés et dans le temps. Compte tenu du fait que les variables critiques affichent souvent aussi un lien avec l'illiquidité, les auteurs illustrent les conséquences de l'absence de contrôle du facteur d'illiquidité dans la recherche sur la synchronicité. De manière plus générale, ils montrent l'importance du recours à des méthodes faisant appel à une variable de contrôle non linéaire. Globalement, les auteurs concluent que le biais de la mesure du coefficient R2 induit par l'illiquidité contribue à expliquer pourquoi les études antérieures ont indiqué que les sociétés dont le R2 était faible avaient des environnements pauvres en information; ils suggèrent que soit évaluée avec soin dans les recherches à venir la sensibilité de ces résultats aux contrôles non linéaires de l'illiquidité.

Suggested Citation

  • Joachim Gassen & Hollis A. Skaife & David Veenman, 2020. "Illiquidity and the Measurement of Stock Price Synchronicity," Contemporary Accounting Research, John Wiley & Sons, vol. 37(1), pages 419-456, March.
  • Handle: RePEc:wly:coacre:v:37:y:2020:i:1:p:419-456
    DOI: 10.1111/1911-3846.12519
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