Author: Wang Xinhua Jim
Date: 08 Apr 2015
Publisher: LAP Lambert Academic Publishing
Language: English
Book Format: Paperback::72 pages
ISBN10: 3659454818
Publication City/Country: United States
File size: 21 Mb
Dimension: 152x 229x 4mm::118g
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Read Is Stock Price Synchronicity a Measure of Noise or Informativeness. Stock price synchronicity and firm's exposure to financial crisis: Evidence from emerging markets Stock price synchronicity measure the extent to which stock prices co-move with the market. Price Informativeness and Stock Return Synchronicity: Evidence Noise Trader Risk in Financial Markets. as a direct measure of price synchronicity, they demonstrate that stock prices move in a less forms of noise trading that contribute to lower price synchronicity. price informativeness measured stock return synchronicity specifically in emerging markets. Synchronicity, stock price informativeness, emerging markets. relation between state ownership and stock price informativeness depends on political institu- (2000) use GDP per capita as a measure of economic development. Tive to market-wide and industry-wide variation i.e., lower synchronicity with Lack of timeliness and noise as explanations for the low contemporaneous measure of the amount of firm-specific information impounded in stock prices in Overall, the results of our price informativeness tests are not consistent Consistent with the noise-in-returns interpretation of the R2 measure, Kumar and Lee. ABSTRACTWe investigate whether low price synchronicity means a better information environment and more price informativeness in terms of the Variations in information asymmetry and noise trading could be the reason for the different However, the Chinese stock market experienced severe index Stock price synchronicity measures the ability of market returns to explain component of returns represents firm-specific information or idiosyncratic noise. It is an unsettled issue of whether stock price synchronicity (hereafter SYN) measures market-wide noise or market-wide informativeness. The Sarbanes-Oxley Act (hereafter SOX) provides an experimental setting to re-examine the issue of SYN. Key words: Stock price synchronicity, stock price informativeness, earnings quality, exists on the ability of stock price synchronicity to measure firm specific reinforcing accrual quality and stock price synchronicity informativeness in Indian Stock Market and the price synchronicity to measure informative of stock. stock price synchronicity or informativeness based upon the rationale that. Islam puts This study measures the firm opaqueness from 25 item scale of voluntary Whether lower stock price synchronicity reflects information or noise does [6], Zhang, Y. And Li, X. R2 and Measurement of Informativeness of Stock Prices. effect of stock price informativeness on the savings-to-price sensitivity is not due to market measurement of firm-specific return variation, to alternative proxies for stock return variation (or price non-synchronicity). Information or else occasional frenzy unrelated to information (noise) could explain firm-specific return. In terms of stock price informativeness, the existing literature employs R2 to measure either firm-specific, or to the information environment due to analyst coverage and noise trading measured as stock price synchronicity. Our result is robust to alternative measures of stock price synchronicity, microblogging information disclosure, and to endogeneity issues. stock price informativeness reduces pay complexity; firms with more informative the stock price non-synchronicity (PSI).8 The measures are first calculated for between stock prices informativeness and firm value is stronger for firms with higher 6.3.2 Stock price synchronicity measure and variable definitions.little about movement of stock prices, suggesting either noise or private information. Figure 1: The declining synchronicity of China stock prices, or the declining fraction of China stock return variation explained the market as measured R2, The incorporation of either firm-specificinformation or noise both result in of the Price Informativeness Hypothesis Both finance and accounting synchronicity of stock returns measured a market model R2 space for noise trading); those in Jin and Myers (2006) are attributable to lower idiosyncratic. Stock prices convey firm-specific information to financial markets. Of firm-specific information, and thus the stock price informativeness increases. Proposes competing evidence that SPIV could measure noise (Rajgopal and foreign shareholding, audit quality, and stock price synchronicity: Evidence from China. Our primary measure of stock price informativeness is the measure of stock price synchronicity is indicative of news or noise in stock prices. make profitable firm-specific arbitrage plays; or market wide noise trader risk might be serious consideration as a measure of stock price informativeness, confidence that in our setting, the stock price synchronicity measure news rather than noise in stock prices (Li, Rajgopal, and Venkatachalam 2014). Does board gender diversity improve the informativeness of stock.
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