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A study on the relationship between Stock price synchronicity and Price informativeness
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주가 동시성과 가격 정보성의 관계에 관한 연구

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Type
Academic journal
Author
Journal
한국금융공학회 金融工學硏究 金融工學硏究 제16권 제2호 KCI Accredited Journals
Published
2017.1
Pages
27 - 56 (30page)

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A study on the relationship between Stock price synchronicity and Price informativeness
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This study empirically investigates the relationship between stock price synchronicity and price informativeness. The purpose of this paper is to find out whether low stock price synchronicity improves price informativeness or not and why this occurs. We analyze whether high or low stock price synchronicity contains information on future earnings and examine how stock price synchronicity affects on future performance. Main findings are summarized as follows. First, the higher the current stock price synchronicity, the higher the price informativeness. Second, the higher the current stock price synchronicity, the higher the future firm’s performance. Third, the information environment accounts for the improvement of price informativeness by stock price synchronicity. Fourth, as Li et al(2014) have suggested, we show that we should consider how the components of R2 relate with information environment when we use the stock price synchronicity(R2) as the proxy variable for firm-specific return variations. In conclusion, we show the empirical evidence that we have to concern about using low stock price synchronicity as the proxy of high price informativeness.
#주가 동시성 #가격 정보성 #사적 정보 #정보 환경 #고유 변동성 #Stock price synchronicity #Price informativeness #Private information #Information environment #Idiosyncratic volatility

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References (29)

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Bae, K. H. / 2013 / Is Firm?specific Return Variation a Measure of Information Efficiency? / International Review of Finance 13 (4) : 407 ~ 445 google schola Callen, J. L. / 2013 / Accounting Quality, Stock Price Delay, and Future Stock Returns / Contemporary Accounting Research 30 (1) : 269 ~ 295 google schola Chan, K. / 2014 / Price informativeness and stock return synchronicity : Evidence from the pricing of seasoned equity offerings / Journal of financial economics 114 (1) : 36 google schola Chen, C. / 2012 / Idiosyncratic return volatility and the information quality underlying managerial discretion / Journal of Financial and Quantitative Analysis 47 (4) : 873 google schola Chen, Q. / 2007 / Price informativeness and investment sensitivity to stock price / Review of Financial Studies 20 (3) : 619 ~ 650 google schola

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