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Peer firms’ reporting frequency and stock price synchronicity: European evidence

Jesper Haga, Kenneth Högholm and Dennis Sundvik

Journal of International Accounting, Auditing and Taxation, 2022, vol. 49, issue C

Abstract: This study investigates whether and how the amount of firm-specific information incorporated into stock prices changes when there is more quarterly, rather than semi-annual, reporting in the peer group. Using a sample of 33,338 European firm-year observations from 2004 to 2017, we find a significantly negative relationship between stock price synchronicity and concentration of quarterly reporting among a firm’s peers. We argue that more public peer disclosure stimulates acquisition of private firm-specific information. Additional tests show that the negative relationship is strongest among firms with semi-annual reporting, opaque earnings, and low institutional ownership. We further decompose the synchronicity measure into market and industry co-movement and find that the former is decreasing while the latter is increasing with more frequent peer reporting.

Keywords: Financial reporting frequency; Positive externalities; Stock price synchronicity (search for similar items in EconPapers)
JEL-codes: G14 M41 M48 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.intaccaudtax.2022.100505

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