Stock price synchronicity and public firm-specificinformation

Xuejing Xing and Randy Anderson

Journal of Financial Markets, 2011, vol. 14, issue 2, 259-276

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: Stock; price; synchronicity; R-squared; Firm-specific; information; Voluntary; disclosure; Self-selection (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:14:y:2011:i:2:p:259-276

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