Academic literature on the topic 'Stock return synchronicity'
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Journal articles on the topic "Stock return synchronicity"
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Cho, Joong-Seok, Hyung Ju Park, and Ji-Hye Park. "Stock Return Synchronicity and Analysts’ Forecast Properties." Gadjah Mada International Journal of Business 18, no. 3 (December 2, 2016): 301. http://dx.doi.org/10.22146/gamaijb.16941.
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Using stock return synchronicity as a measure of a firm’s information environment, our research investigates how the firms’ stock return synchronicity affects analysts’ forecast properties for the accuracy and optimism of the analysts’ annual earnings forecasts. Stock return synchronicity represents the degree to which market and industry information explains firm-level stock return variations. A higher stock return synchronicity indicates the higher quality of a firm’s information environment, because a firm’s stock price reflects more market-level and industry-level information relative to firm-specific information. Our study shows that stock return synchronicity positively affects the forecast properties. Our finding shows that when stock return synchronicity is high, analysts’ annual earnings forecasts are more accurate and less optimistically biased.
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Du, Chan, Liang Song, and Jia Wu. "Bank accounting disclosure, information content in stock prices, and stock crash risk." Pacific Accounting Review 28, no. 3 (August 1, 2016): 260–78. http://dx.doi.org/10.1108/par-09-2015-0037.
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Purpose This paper aims to examine how banks’ accounting disclosure policies affect information content in stock prices and stock crash risk. Design/methodology/approach This paper uses 1996-2013 as the sample period. The final sample includes 10,045 observations in 37 countries. This paper uses stock return synchronicity to measure information content in stock prices. This study uses the frequency difference between extremely negative and positive stock returns to measure stock crash risk. To measure the level of bank accounting disclosure, this research follows Nier and Baumann (2006) to construct an aggregate disclosure index based on inclusions and omissions of a series of items in a bank’s annual accounting reports. Findings This paper finds that banks’ stocks have lower stock return synchronicity and fewer extremely negative returns if banks have higher levels of financial statement disclosure. These results suggest that banks’ stocks have higher information content and lower crash risk if banks’ information environment is more transparent. Originality/value Overall, this paper provides new insight about how to increase banks’ transparency and the safety of the banking industry, which is beneficial to economic growth. To increase banks’ transparency and reduce the possibility of extremely negative stock returns, one way to regulate banks is to increase their accounting disclosure. In addition, the extant literature (Chen et al., 2006, Durnev et al., 2003, 2004; Wurgler, 2000) demonstrates that firms with lower stock return synchronicity have more transparent information environments and higher investment efficiency. Thus, this paper finds that higher levels of bank accounting disclosure are associated with lower stock return synchronicity, which further reduces banks’ opacity and increases banks’ investment efficiency. Finally, compared to business firms, stock crash risk has much direr consequences because one bank’s stock crash will affect overall financial stability. Thus, it is important for authorities to know the effects of accounting disclosure on bank stock crash risk.
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Ye, Kangtao, Jenny Xinjiao Guan, and Bo Zhang. "Strategic Deviation and Stock Return Synchronicity." Journal of Accounting, Auditing & Finance 36, no. 1 (October 11, 2018): 172–94. http://dx.doi.org/10.1177/0148558x18802551.
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We examine the effect of strategic deviation on the relative amount of firm-specific information incorporated into stock prices, measured by stock return synchronicity. Strategic deviation is conceptualized as the extent to which the pattern of a firm’s resource allocation deviates from that of its industry peers. We find that strategic deviation is negatively associated with stock return synchronicity. Using a path analysis, we document that firms following deviant strategy issue more frequent managerial forecasts and have a higher level of block ownership than nondeviant firms, and that both managerial forecasts and block ownership partially mediate the relationship between strategic deviation and stock return synchronicity. Our study contributes to accounting and finance literature by documenting the role of firms’ strategic positioning in the stock price-formation process.
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Bai, Xuelian, Nan Hu, Ling Liu, and Lu Zhu. "Credit derivatives and stock return synchronicity." Journal of Financial Stability 28 (February 2017): 79–90. http://dx.doi.org/10.1016/j.jfs.2016.12.006.
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Crawford, Steven S., Darren T. Roulstone, and Eric C. So. "Analyst Initiations of Coverage and Stock Return Synchronicity." Accounting Review 87, no. 5 (April 1, 2012): 1527–53. http://dx.doi.org/10.2308/accr-50186.
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ABSTRACT We examine how the information produced by analysts when they initiate coverage contributes to the mix of firm-specific, industry-, and market-wide information available about the firm. We hypothesize that the first analyst to initiate coverage provides low-cost market and industry information allowing him/her to follow more stocks, whereas subsequent analysts provide firm-specific information to distinguish themselves from existing analysts. We use stock return synchronicity to measure the mix of information available about a firm, with higher synchronicity indicating more industry and market information. Coverage initiations of firms with no prior analyst coverage increase synchronicity, suggesting that analysts produce industry- and market-wide information. In contrast, analysts initiating coverage on firms with existing coverage appear to focus on producing firm-specific information as these initiations lead to reduced synchronicity. Together, our findings indicate that the type of information that analysts produce at initiation depends on the information provided by other analysts. Data Availability: All data are available from public sources identified in the paper.
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Butar Butar, Sansaloni. "Board of commisioners Composition, Governance Committee, and Stock Price Synchronicity." Jurnal Akuntansi dan Keuangan 21, no. 1 (May 23, 2019): 1–11. http://dx.doi.org/10.9744/jak.21.1.1-11.
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Market returns do not fully explain individual stock return changes, suggesting insynchronous movement between the two types of returns. The phenomena is widely called stock price synchronicity. Stock price synchronicity refers to the extent to which firm-specific information incorporated in stock prices. Prior studies suggest that price synchronicity is negatively associated with information quality. Firms with poor informational environment is likely to produce unreliable financial reports. Hence, it is a necessity for a firm to establish internal mechanisms, reflected in its corporate governance system, to promote conducive informational environment. One pillar of good corporate governance is the existence of effective Board of Commissioner. This study examines the association between Board of Commissioner composition and stock price synchronicity. Board of Commissioners composition includes Board independence, Board size, and gender diversity. In addition, this study also examine the role of Governance Committee in lowering stock price synchronicity. Regression analysis show that Board size and Board independence are negatively associated with stock price synchronicity. But no significant result were found for gender diversity. These findings suggest that larger Board size and more independent Board play significant role in improving the quality of financial reporting. And the presence of female commsioners do not affect financial reporting quality.
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Murhadi, Werner Ria, and Liliana Inggrit Wijaya. "CORPORATE GOVERNANCE, TRANSPARANCY AND STOCK RETURN SYNCHRONICITY." Journal of Entrepreneurship & Business 2, no. 1 (March 9, 2021): 1–10. http://dx.doi.org/10.24123/jeb.v2i1.3919.
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This study aims to analyze the effect of corporate governance on transparency as measured by stock return synchronicity. The variables used are board size (commissioner), big4 audit, institutional ownership, market to book, the volatility of firm fundamentals, leverage, and firm size. This study uses a quantitative approach with multiple linear analysis models. This study uses a sample of non-financial business entities listed on the Indonesia Stock Exchange (BEI). The number of samples used in this study was 198 observations. The results showed that the variable board size (commissioner), institutional ownership, and leverage had a positive effect on transparency, and the implied volatility of the firm hurt transparency. Other variables such as big4 audit, market to book ratio, and firm size do not affect transparency.
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Bai, Xuelian, Yi Dong, and Nan Hu. "Financial report readability and stock return synchronicity." Applied Economics 51, no. 4 (August 10, 2018): 346–63. http://dx.doi.org/10.1080/00036846.2018.1495824.
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Chue, Timothy K., Ferdinand A. Gul, and G. Mujtaba Mian. "Aggregate investor sentiment and stock return synchronicity." Journal of Banking & Finance 108 (November 2019): 105628. http://dx.doi.org/10.1016/j.jbankfin.2019.105628.
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Aghababaei, Mohammad Ebrahim, and Saeid Madani. "Investor sentiment and stock return synchronicity in Tehran Stock Exchange." Journal of Financial Management Perspective 11, no. 34 (August 23, 2021): 95–115. http://dx.doi.org/10.52547/jfmp.11.34.95.
Full textDissertations / Theses on the topic "Stock return synchronicity"
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Khandaker, Sarod, and sarod_khandaker@yahoo com. "Empirical analysis of stock return synchronicity comparison of developed and emerging markets." RMIT University. Economics Finance and Marketing, 2009. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20090506.092649.
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Abstract This thesis analyses the stock market synchronicity of 34 emerging markets and compares the findings with seven developed markets. The study uses weekly stock return data and the final dataset includes approximately 20.8 million weekly observations for 40,014 firms across the world. Morck et al. (2000) are among the first to introduce the topic of stock market synchronisation and argue that stock markets in economies with high per capita GDP move in a relatively unsynchronised manner over time, in contrast to stock prices in low per capita GDP economies. They also suggest that stock synchronicity is associated with macroeconomic indicators including rule of law, inflation, corruption and geographical size. In addition, Skaife et al. (2006) propose a further measure of stock synchronicity based on the proportion of zero returns and argue that the zero-return measure is a superior measure of stock market co-movement. The study uses both measures proposed by Morck et al. (2000) and one measure proposed by Skaife et al. (2006) for synchronicity analysis and extends the analysis to cover a ten year period, a larger sample of shares and more recent measures of country specific characteristics. It is found that stock markets in emerging economies are more synchronous than in developed economies over the sample period using the classical measure. It is also found that over the 10-year study period the synchronicity measure is stationary. There is evidence of a statistically significant negative correlation between stock synchronicity and both government accountability and corruption for the emerging markets using the cross-sectional analysis. The R-square measure of stock synchronicity averages 0.091 for the emerging markets and 0.045 for the developed economies, suggesting that higher stock price co-movement is evident in emerging economies. Further, there is a statistically significant positive correlation between the R-square measure and both corruption and inflation. The study also uses the zero-return measure of stock synchronicity suggested by Skaife et al. (2006). It is found that the zero-return measure for emerging economies is higher than for developed economies. Surprisingly, China and the S&P 500 group of companies exhibit the lowest values for the zero-return measure during this period, which is inconsistent with the classical measure and the R-square measure. Further, panel data analysis shows that GDP per capita and trade openness have a strong effect on the zero-return measure. The Pearson correlation and Spearman rank correlation coefficient indicate that the classical measure and the R-square measure are positively correlated and appear to capture similar aspects of the markets in the study, which is also consistent with cross-sectional analysis results. In contrast, the zero-return measure shows either insignificant or negative correlation with the classical measure and the R-square measure for most sub-period and full period analysis. Finally, there is evidence that emerging stock markets are more synchronous over time than in developed financial markets. It is found that common-law country stock synchronicity is lower than in civil-law countries or post-communist countries using the classical measure and the R-square measure.
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Pan, Wei-chan, and 潘為禪. "Boards and the Stock Return Synchronicity." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/95140276982823230988.
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碩士國立高雄第一科技大學
金融營運所
95
The sample consists of 1,082 listed companies from 2004 to 2005.The main idea of this paper examines the relation between the board structure, the busy board, and the stock return synchronicity. I defined stock return synchronicity as the firm-level stock returns explained by the market and industry returns. First I examined the influence of the board structure and the busy board on the firm’s performance. I extend the performance to stock return synchronicity to discuss the implied information of stocks price by regression analysis. The results show that, in board structure, the firm’s performance is positively related to the percentage of inside director and the percentage of outside director and independent director. The percentage of inside director and the percentage of outside director show negative effects on the stock return synchronicity. In director’s busy board, outside directors hold three or more directorships show a significant negative impact on the stock return synchronicity. The percentage of inside director, independence director and the percentage of outside directors with three or more directorships have negative effect on the lag term of the stock return synchronicity. Busy board, a dummy variable equals one if 50% or more of the boards outside directors hold three or more directorships have a negative effect on the lag term of the stock return synchronicity.
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LAN, JIANRONG, and 藍健榮. "Price Momentum and Stock Return Synchronicity." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/68571224126005878649.
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碩士國立臺北大學
企業管理學系
101
This study investigates price momentum among stock return synchronicity and contributes to the understanding of the source of momentum profits. Using a sample of U.S. stock from 1965 to 2012, we examine the return from a stock return synchronicity and momentum mixed strategy. We find that momentum profits are positively correlated with stock return synchronicity. In addition, reversal is prevalent only in low synchronicity stocks. Our result contributes the literature in three aspects. First, we confirm that return synchronicity could proxy the stock price informativeness. A more informative stock price means higher return synchronicity. Second, the degree of stock return synchronicity can moderate momentum effect and price reversal. Among high return synchronicity socks, which stock price would underreact, we find the strongest middle-term momentum and no long-term price reversal. However, among stocks with low return synchronicity, the stock price would seriously overreact, which weakens middle-term momentum and enhances long-term price reversal. Finally, momentum effect could not be simply due to systematic risk or behavioral biases. The major resources of momentum profits are attributed to cross-sectional variation in expected stock returns. Nevertheless, the negative serial autocorrelation of stock return decreases momentum magnitude and strengthens price reversal.
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TSAI, CHIA-CHING, and 蔡佳靜. "A Cross-Country Analysis on Stock Return Synchronicity." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/bs7p74.
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碩士大葉大學
企業管理學系碩士班
105
This paper explores stock market synchronicity of 40 countries from 2001 to 2016, especially in its efforts on comparing stock market synchronicity between the developed and emerging countries in pre-, post- and during the 2008 financial crisis periods. The empirical results indicate that in the emerging markets, China has the highest stock synchronicity and U.S. has the highest one in the developed countries. As comparing the stock return synchronicity, there’s no statistical difference between the emerging markets and the developed ones. However, as dividing our sample periods into three periods, we find higher stock return synchronicity in the emerging markets within the pre- financial crisis period. During the 2008 financial crisis period, the synchronicity increases simultaneously in both emerging markets and the developed countries.
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Chen, Jiun-Cheng, and 陳俊呈. "The Relationship between the stock return synchronicity and institutional investors." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/04777045624820306810.
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碩士國立高雄第一科技大學
金融營運所
95
I investigate the relationship between stock return synchronicity and institutional investor’s behavior. In my study, institutional investor’s transactions include shareholdings, turnover rates, the numbers of institutional investors, the numbers of institutional shareholdings over 1%. In OLS linear regression models, I find stock return synchronicity is negative with institutional investor’ behavior, which means that institutional investor’ behavior conveys more firm-specific information in the stock returns. The findings consist with our hypotheses. I separate the samples by different types of institutional investor’s shareholdings, because institutional investors have the advantage to absorb firm information. No matter the company is dominated by which type of institutional investors, the institutional investor transaction information is negative with stock return synchronicity and the affect is getting stronger. It shows that the institutional investors’ behavior impounds more firm-specific information into stock return. At the same time, it reveals that industrial and market information react less on stock returns. In robustness tests, the outcome is consistent with regression analysis.
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Chen, Yimeng (Emon). "The informational role of corporate carbon performance in the stock market." Thesis, 2017. http://hdl.handle.net/2440/114478.
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This thesis examines the informational role of corporate carbon performance in the stock market using a sample of publicly listed firms regulated under the European Union Emission Trading Scheme (EU_ETS). Based on carbon information compiled from the facility-level records within the transaction log under the operation of the EU_ETS from 2006 to 2015, this thesis calibrates the informational role of corporate carbon performance at the firm-level by exploring: (1) whether corporate carbon performance information affects firms’ information environments; and (2) whether corporate carbon performance affects firms’ cost of equity. Employing a synchronicity measure capturing the relative amount of firm specific information flows compared with market- and industry-wide information, the first empirical study in this thesis provides evidence that corporate carbon performance information plays a key informational role in the stock market by impounding more firm-specific information into share prices. In particular, this study finds that: (1) more firm-specific information relative to market- and industry-wide information is incorporated into share prices of firms with less carbon intensity; and (2) leadership in managing carbon performance relative to industry peers increases firm-specific information captured in share prices. Further, using an ex-ante implied cost of equity measure, the second empirical study in this thesis examines the impact of corporate carbon performance on investors’ perception of firm riskiness. This study provides evidence supporting the market assessment of carbon risks manifested in a higher required rate of return on equity. Specifically, this study finds that the magnitude of carbon intensity neither increases nor decreases the cost of equity financing for the full sample. However, a higher cost of equity is observed for high-emitting firms, suggesting that investors condition their assessment of carbon risks on a firm’s relative emission profile. This study also finds that firms with a higher carbon risk profile relative to industry peers have a higher cost of equity, suggesting that firms’ capacity to pass-on carbon costs affects the market pricing of carbon risks. Taken together, the empirical findings of this thesis show that corporate carbon performance serves an important information role in the stock market by producing more firm-specific information that reduces the level of information asymmetry and thereby lowers the cost of equity. This thesis therefore provides confirmatory evidence of the usefulness of carbon disclosures mandated through an enacted ETS. This thesis contributes to the literature on the market value effects of carbon information in several important ways. First, it provides robust empirical evidence that corporate carbon performance information affects the level of firm-specific information impounded in share prices. Second, this thesis provides unique insights into how corporate carbon performance enhances firm value through the cost of equity. This thesis also has several important implications for financial market regulators, policy makers, corporate executives and institutional investors. For instance, evidence that firm disclosures of carbon performance provide benefits by enabling industry benchmarking can inform the development of carbon disclosure requirements to improve the transparency of carbon disclosure and the efficiency of capital allocation. Corporate decision makers may take into account the potential benefit of a lower cost of equity in addition to accounting earnings in assessing the viability of investments in green technologies. Further, this thesis has implications for portfolio managers in constructing indices that track firms exhibiting lower carbon profile than industry peers to address the preferences of eco/green investors.Thesis (Ph.D.) -- University of Adelaide, Business School, 2017.
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Huang, Yung-ta, and 黃勇達. "A Study of the Influence of Information Disclosure and Stock Return Synchronicity on Institutional Investors Shareholdings." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/91086954042240820582.
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碩士國立高雄第一科技大學
金融營運所
95
After the relaxation of investment for institutional investors in Taiwan financial market, the investment behavior of institutional investors drew more attention. This study takes listed companies from 2003 to 2004 as samples to probe for the influence of information disclosure and stock return synchronicity on institutional investors’ shareholdings. The contribution of this study lies in integrating various dimensions of information disclosure measures, and connecting stock return synchronicity that implies information contents of a company in order to analyze the stockholding strategies of institutional investors. This research regards information disclosure evaluating system, overseas depository receipts, and accounting audit as information disclosure quality, and divides institutional investors into foreign investment, investment trust, and dealers. The results turns out that among information disclosure variables, ADR and GDR have positive effects on institutional investors’ shareholdings, especially foreign investors. Big Four accounting firms have positive relation with investment trust and foreign investment shareholdings. Accounting attestation has a positive effect on dealers. However, in independent T test, companies with better information disclosure get higher foreign investment and investment trust shareholdings. This study uses stock return synchronicity to measure the information contents of stock price volatility, and finds that stock return synchronicity has a positive effect on foreign investment and investment trust shareholdings. It demonstrates that institutional investors prefer stocks with price related more to market and industry information.
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LAI, YUN-JU, and 賴韻如. "The Impacts of ETF Trading on Return Synchronicity of Underlying Stocks." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/mr955d.
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碩士大葉大學
企業管理學系碩士班
107
ETF is regarded as a part of the passive management funds. This study aims to explore whether ETF fund managers’ trading will impact the return synchronicity of the underlying stocks. Literature supporting the impacts of ETF trading on stock synchronicity indicates that the price information revealed by ETF trading is relatively low, which increases the return synchronicity of the underlying stocks. The thesis uses 19 ETFs launched by Taiwan financial institutions from 2003 to 2018 as the samples and establishes a standardized panel data regression to estimate the impacts of ETF trading on the return synchronicity of the underlying stocks. The results show that the return synchronicity decreases with the change of ETF trading. The passive ETF funds reveal less information regarding to the market and industry and more information of the company as ETF trading attracts more investors’ attention.
Book chapters on the topic "Stock return synchronicity"
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"FIXED AND RANDOM EFFECTS MODELS APPLICATION: SYNCHRONICITY OF STOCK RETURNS." In Financial Valuation and Econometrics, 439–57. WORLD SCIENTIFIC, 2015. http://dx.doi.org/10.1142/9789814644020_0023.
Full textConference papers on the topic "Stock return synchronicity"
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Ningning, Pan, and Zhu Hongquan. "A Review of Stock Return Synchronicity." In 2014 International Conference on Economic Management and Social Science (ICEMSS 2014). Paris, France: Atlantis Press, 2014. http://dx.doi.org/10.2991/emss-14.2014.54.
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Yin Lei and Liu Yucan. "Stock return synchronicity and seasoned equity offerings in China." In 2016 13th International Conference on Service Systems and Service Management (ICSSSM). IEEE, 2016. http://dx.doi.org/10.1109/icsssm.2016.7538528.
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Düzakın, Hatice, and Heba Isleem. "Ownership concentration, Foreign shareholding, Audit quality and Stock Price Synchronicity: A Critical Review of literature and Evidence from BORSA Istanbul." In International Conference on Eurasian Economies. Eurasian Economists Association, 2021. http://dx.doi.org/10.36880/c13.02596.
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Stock price synchronicity is used to explain the co-movement of stock price in the same direction over a certain period with the market price. The aim of this seminar paper is critically review literatures which investigated the association between firm specific information such as ownership concentration, foreign shareholding, audit quality and stock price synchronicity. Most of research used to measure stock price synchronicity either classical synchronicity measure, R-square measure or zero return measure. Studies show that stock price synchronicity high in emerging markets comparing to developed markets. Poland, China, Taiwan, Malaysia, Turkey, Columbia and Mexico are among the highest synchronized countries and the reason to their higher synchronicity is poor property right controlling. Ownership concentration, foreign shareholding, audit quality are among the main factors which affected stock price synchronicity. Most of research on this topic are conducted in case of China stock markets due to china is the second higher synchronized country. The finding of reviewed literature indicated that there are negative relationships between ownership concentration, foreign shareholding, audit quality and stock price synchronicity, meaning that low ownership concentration, low foreign ownership and low audit quality resulted in high stock price synchronicity and vice versa. The paper also empirically investigated the association between stock price synchronicity and corporate governance factors such as ownership concentration, foreign shareholding and Percentage of independent directors in the board for 15 companies listed in Borsa Istanbul 30 indexe (BIST 30) covering the period between 2016 and 2019. The finding indicated that only leverage positively associated with stock price synchronicity and foreign ownership, ownership concentration and market to book ratio are negatively associated with stock price synchronicity.