Stock price synchronicity, sustainability reports, and earnings quality

Utari Dian Pratiwi, Erwin Saraswati and Arum Prastiw
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Utari Dian Pratiwi: Accounting Departement, Faculty of Economics and Business, University of Brawijaya, Malang, Indonesia
Erwin Saraswati: Faculty of Economics and Business, University of Brawijaya, Malang, Indonesia
Arum Prastiw: Faculty of Economics and Business, University of Brawijaya, Malang, Indonesia

International Journal of Research in Business and Social Science (2147-4478), 2021, vol. 10, issue 1, 139-148

Abstract: Stock Price Synchronicity is a calculation used to show the proportion of the company's internal and external information accumulated into the stock price. This study aims to examine internal information in the form of sustainability reports and earnings quality on stock price synchronicity. Furthermore, this study also aims to examine the moderating effect of institutional investors as an indicator of sophisticated investors. The population in this study is a go-public manufacturing company on the Indonesia Stock Exchange (BEI). The sample was determined by the purposive sampling method. This research uses multiple regression analysis methods with a panel data form. The results showed that companies with a higher quality of sustainability reports had lower stock price synchronicity and institutional investors did not have a moderating effect in this relationship. The results also show that companies that have higher earnings quality have high stock price synchronicity as well. This relationship changes when the institutional investor moderation variable is added. Companies with higher earnings quality have lower stock price synchronicity values. Key Words: Sustainability Report, Earnings Quality, Stock Price Synchronicity, Stock Price, Stock Market

Date: 2021
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