Stock price synchronicity and price informativeness: Evidence from a regulatory change in the U.S. banking industry

Pejman Abedifar, Kais Bouslah and Yeliangzi Zheng

Finance Research Letters, 2021, vol. 40, issue C

Abstract: Whether return synchronicity is associated with higher or lower stock price informativeness is still an ongoing debate in the academic literature. This paper contributes to this debate by exploiting an exogenous shock, provided by a regulatory change introduced by the Federal Reserve in 2015, and examining its impact on return synchronicity using a sample of U.S. listed bank holding companies (BHCs) operating during the period of 2014: Q3 – 2016: Q2. Applying a regression discontinuity design, we find that return synchronicity of treated BHCs decreases after the regulatory change. This finding suggests that lower return synchronicity represents lower stock price informativeness.

Keywords: Price informativeness; Stock return synchronicity; Financial regulation; Bank opacity (search for similar items in EconPapers)
JEL-codes: G14 G21 G28 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612320309855
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320309855

DOI: 10.1016/j.frl.2020.101678

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().