Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
961669 | Journal of Financial Markets | 2011 | 18 Pages |
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.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Xuejing Xing, Randy Anderson,