Stock price synchronicity and public firm-specific information

被引：49

作者：

Xing, Xuejing ^{[1
]}

Anderson, Randy ^{[2
]}

机构：

[1] Univ Alabama, Dept Accounting & Finance, BAB 315, Huntsville, AL 35899 USA

[2] Univ Cent Florida, Dept Finance, Orlando, FL 32816 USA

来源：

JOURNAL OF FINANCIAL MARKETS | 2011年 / 14卷 / 02期

关键词：

Stock price synchronicity; R-squared; Firm-specific information; Voluntary disclosure; Self-selection; IDIOSYNCRATIC VOLATILITY; ANALYST COVERAGE; DISCLOSURE;

D O I：

10.1016/j.finmar.2010.10.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：259 / 276

页数：18

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