Does High Stock Return Synchronicity Indicate High or Low Price Informativeness? Evidence from a Regulatory Experiment

2017 ◽  
Vol 18 (4) ◽  
pp. 523-546 ◽  
Author(s):  
Shuo Kan ◽  
Stephen Gong
Keyword(s):  
Stock Return ◽  
Price Informativeness

Effect of Stock Price Information on Timing of Share Repurchases

2019 ◽  
Vol 4 (1) ◽  
pp. 36-46
Author(s):  
Chong-Meng Chee ◽  
Nazrul Hisyam Bin Ab Razak
Keyword(s):  
Cost Saving ◽  
Private Information ◽  
Stock Price ◽  
Stock Return ◽  
Market Timing ◽  
Abnormal Returns ◽  
Jel Classification ◽  
Share Repurchases ◽  
Price Informativeness ◽  
Stock Price Informativeness

Objective - This study investigates whether private information newly incorporated into stock price enhances performance in timing share repurchases. Methodology/Technique - Cost saving gained in share repurchases is used a proxy for performance of market-timing in share repurchases and firm-specific stock return variation is used to gauge stock price informativeness. A sample of 334 U.S. repurchasing firms are tested using panel data regression. Findings - The paper concludes that managers possess better market timing skill by obtaining more cost saving from their share repurchases when private information is reflected in stock price. Stock price informativeness may be the tool for managers to improve their market timing skill to take advantage of the stock market. Furthermore, firms with smaller size and a higher market-to-book ratios, and firms with higher cash-to-assets ratios are found to achieve more cost saving in buying back their shares indicating that these firms are able to time the market in share repurchasing. Novelty – Despite numerous previous studies focusing solely on using share repurchases announcement for computing cumulative abnormal returns in testing managerial market timing, this study contributes to the literature in several ways: (i) providing evidence relating stock price informativeness and performance of market-timing in share repurchases; (ii) developing a better timing measure constructed using actual repurchasing data; (iii) adopting a cost saving measure as the timing measure instead of cumulative abnormal return. Type of Paper - Empirical. Keywords: Managerial Learning Hypothesis; Market Timing; Stock Repurchase; Stock Price Informativeness; Firm-specific Stock Return Variation. JEL Classification: G12, G13, G14. DOI: https://doi.org/10.35609/jfbr.2019.4.1(5)

scholarly journals Transparency Regulation and Stock Price Informativeness: Evidence from the European Union's Transparency Directive

2019 ◽  
Vol 18 (2) ◽  
pp. 89-113 ◽  
Author(s):  
Olena V. Watanabe ◽  
Michael J Imhof ◽  
Semih Tartaroglu
Keyword(s):  
Stock Price ◽  
Stock Return ◽  
Data Availability ◽  
Price Informativeness ◽  
Financial Reports ◽  
Corporate Transparency ◽  
Financial Disclosures ◽  
Stock Price Informativeness ◽  
Transparency Directive ◽  
Jel Classifications

ABSTRACT We examine changes in stock price informativeness following the European Union's Transparency Directive (TPD). The TPD, implemented by country between 2007 and 2009, enhanced corporate transparency through mandating regular firm financial disclosures and facilitating the dissemination of financial reports. Using stock return synchronicity as a proxy for stock price informativeness, we find that price informativeness improved following implementation of the TPD. This improvement was more pronounced in countries with strong regulatory environments than those with weak regulatory environments. We additionally examine a later amendment to the TPD that eliminated the requirement of quarterly financial disclosures and document an increase in stock return synchronicity following the amendment. Our findings support prior research suggesting that transparency regulations improve financial information. JEL Classifications: F30; G15; G30; M4. Data Availability: Data are available from the sources cited in the text.

scholarly journals Transparency, Price Informativeness, and Stock Return Synchronicity: Theory and Evidence

2010 ◽  
Vol 45 (5) ◽  
pp. 1189-1220 ◽  
Author(s):  
Sudipto Dasgupta ◽  
Jie Gan ◽  
Ning Gao
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Return ◽  
Empirical Support ◽  
Seasoned Equity Offerings ◽  
American Depositary Receipts ◽  
Equity Offerings ◽  
Price Informativeness ◽  
The Future ◽  
Depositary Receipts

AbstractThis paper argues that, contrary to the conventional wisdom, stock return synchronicity (or R2) can increase when transparency improves. In a simple model, we show that, in more transparent environments, stock prices should be more informative about future events. Consequently, when the events actually happen in the future, there should be less “surprise” (i.e., less new information is impounded into the stock price). Thus a more informative stock price today means higher return synchronicity in the future. We find empirical support for our theoretical predictions in 3 settings: namely, firm age, seasoned equity offerings (SEOs), and listing of American Depositary Receipts (ADRs).

A Reexamination of the Causes of Time-Varying Stock Return Volatilities

CFA Digest ◽  
2010 ◽  
Vol 40 (4) ◽  
pp. 33-35
Author(s):  
Stephen Phillip Huffman
Keyword(s):  
Stock Return ◽  
Time Varying

Analisis Komparatif Return Saham Dan Volume Perdagangan Saham Sebelum dan Sesudah Harbolnas Pada Perusahaan Dagang Yang Terdaftar Di Bei

2020 ◽  
Vol 17 (2) ◽  
Author(s):  
Devy Putri Milanda ◽  
Taufan Adi Kurniawan
Keyword(s):  
Linear Regression ◽  
Abnormal Return ◽  
Stock Return ◽  
Industrial Revolution ◽  
Online Shopping ◽  
Stock Exchange ◽  
Trade Volume ◽  
Volume Activity ◽  
Significance Level ◽  
Before And After

The industrial revolution resulted in several industries changing their management in order to survive, one of the industries that was affected quite considerably was the trading industry. This study aims to analyze stock return and Trade Volume Activity (TVA) of trading companies in Indonesia Stock Exchange (IDX) before and after Harbolnas (Hari Belanja Online Nasional) or National Online Shopping Days. The samples are all trading companies that have listed on the IDX in the year 2019. This study use multiple linear regression with a significance level of 5%. The results show there are no significant differences in the abnormal return before and after Harbolnas, and there are no significant differences in the TVA before and after the harbolnas

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