Information Disclosure, Intertemporal Risk Sharing, and Stock Prices

2009 ◽  
Author(s):  
Tri Vi Dang ◽  
Hendrik Hakenes
Keyword(s):  
Stock Prices ◽  
Information Disclosure ◽  
Risk Sharing

Stock prices' long memory in China and the United States

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Zhengxun Tan ◽  
Yao Fu ◽  
Hong Cheng ◽  
Juan Liu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Long Memory ◽  
Stock Markets ◽  
Information Disclosure ◽  
Structural Breaks ◽  
Efficient Market Hypothesis ◽  
The United States ◽  
Chinese Stock Market ◽  
Content Type

PurposeThis study aims to examine the long memory as well as the effect of structural breaks in the US and the Chinese stock markets. More importantly, it further explores possible causes of the differences in long memory between these two stock markets.Design/methodology/approachThe authors employ various methods to estimate the memory parameters, including the modified R/S, averaged periodogram, Lagrange multiplier, local Whittle and exact local Whittle estimations.FindingsChina's two stock markets exhibit long memory, whereas the two US markets do not. Furthermore, long memory is robust in Chinese markets even when we test break-adjusted data. The Chinese stock market does not meet the efficient market hypothesis (EMHs), including the efficiency of information disclosure, regulations and supervision, investors' behavior, and trading mechanisms. Therefore, its stock prices' sluggish response to information leads to momentum effects and long memory.Originality/valueThe authors elaborately illustrate how long memory develops by analyzing not only stock market indices but also typical individual stocks in both the emerging China and the developed US, which diversifies the EMH with wider international stylized facts and findings when compared with previous literature. A couple of tests conducted to analyze structural break effects and spurious long memory demonstrate the reliability of the results. The authors’ findings have significant implications for investors and policymakers worldwide.

scholarly journals PENGUNGKAPAN INFORMASI HUMAN CAPITAL DAN HARGA SAHAM: STUDI PADA HIGH INTELLECTUAL CAPITAL (IC) INTENSIVE INDUSTRIES DI BURSA EFEK INDONESIA

2018 ◽  
Vol 14 (2) ◽  
pp. 113
Author(s):  
Andreas Sugianto ◽  
Felizia Arni Rudiawarni
Keyword(s):  
Human Capital ◽  
Intellectual Capital ◽  
Stock Prices ◽  
Information Disclosure ◽  
Stock Price ◽  
Disclosure Of Information ◽  
Key Factor ◽  
The Relationship ◽  
Positive Effect ◽  
Is Value

In the accounting’s world, human capital is a part of an intellectual capital (IC) in a group of intangible assets. Human capital began to be recognized as a key factor of a competitive advantage. Disclosure of information related to human capital also contribute to the reduction of asymmetric information between firms and their investors. This study aims to describe the relationship between human capital information disclosure and stock price. The object of this study are firms in the high Intellectual Capital (IC) intensive industry that disclose information about their human capital.  This study finds that the disclosure of human capital has positive effect on stock prices, particularly the disclosure of information regarding the qualifications and competence of human capital. In other words, the information about human capital is value relevant.

Can microblogging information disclosure reduce stock price synchronicity? Evidence from China

2018 ◽  
Vol 44 (2) ◽  
pp. 282-305 ◽  
Author(s):  
Donghua Zhou ◽  
Yujie Zhao ◽  
Philip T Lin ◽  
Bin Li ◽  
Adrian (Waikong) Cheung
Keyword(s):  
Stock Prices ◽  
Information Disclosure ◽  
Stock Price ◽  
Negative Relationship ◽  
Jel Classification ◽  
Specific Information ◽  
Chinese Stock Market ◽  
Stock Price Synchronicity ◽  
Alternative Measures ◽  
The Impact

We study the relationship between stock price synchronicity and information disclosure of firms listed in the Chinese stock market, using hand-collected data on firms’ official microblogging content in Sina Weibo, a popular microblogging service in China. We find that after controlling for the impact of traditional media, the number of Weibo tweets is related negatively to stock price synchronicity, indicating that stock prices incorporate firm-specific information disclosed in the firm’s official Weibo. Number of microblogging fans can strengthen this negative relationship. Our result is robust to alternative measures of stock price synchronicity, microblogging information disclosure, and to endogeneity issues. JEL Classification: G14, G15

CORPORATE VALUATION SPURRED BY INFORMATION TRANSPARENCY IN AN EMERGING ECONOMY

2021 ◽  
Author(s):  
TRAN THAI HA NGUYEN ◽  
WING-KEUNG WONG ◽  
GIA QUYEN PHAN ◽  
DANG THANH MINH TRAN ◽  
MASSOUD MOSLEHPOUR
Keyword(s):  
Corporate Governance ◽  
Stock Prices ◽  
Information Disclosure ◽  
Stock Price ◽  
Generalized Method Of Moments ◽  
Emerging Economy ◽  
Crash Risk ◽  
Information Transparency ◽  
Corporate Valuation ◽  
Negative Effect

The stock price crash can result from lacking information transparency, especially in emerging economies characterized by weak corporate governance and high volatility. This study approaches corporate information transparency through the crash risk of stock prices on the Vietnamese market, develops a model that reflects the effect of information disclosure on corporate valuation, and employs two-step system generalized method of moments (S-GMM) estimation for panel data to deal with endogenous problems. This paper finds that the crash risk of stock price, referred to as the low level of information disclosure, creates a significantly negative effect on corporate valuation, expressing that information asymmetry causes serious issues for corporate prospects in the context of an emerging economy. Thus, corporates are suggested to enrich their information disclosure through periodic reports as a crucial mechanism to improve their transparency, reduce stock price crash risk, and enhance their valuation. This study also proposes related recommendations to enhance corporate governance and finance supervisory to maintain sustainability in the future.

scholarly journals The Impact of Disclosure Sentiment on the Share Prices of Russian Companies

2021 ◽  
Vol 15 (2) ◽  
pp. 5-15
Author(s):  
Maksim Kopyrin ◽  
Iuliia Naidenova
Keyword(s):  
Stock Prices ◽  
Information Disclosure ◽  
Stock Price ◽  
Positive Impact ◽  
News Item ◽  
Marginal Effect ◽  
Share Prices ◽  
Stock Price Reaction ◽  
Tone Level ◽  
The Impact

Information about companies published in a news feed is invariably tinted by emotional tonality. As such, resultingperceptions may influence the opinion of market players, and consequently affect the dynamics of a company’s shareprice. This study aims to evaluate various hypotheses about the impact of the tone of news items regarding dividends,capital expenditures, and development on the stock prices of Russian companies. Information disclosure is extensivelystudied, and there have been limited studies on the effect of disclosures on Russian companies. However, until now, therehave been no research studies which verify hypotheses on the influence of news sentiment on corporate share prices inthe Russian market. This analysis was conducted using data from 49 Russian public companies included in the Moscow exchange indexover the period from the end of 2017 to the beginning of 2019. To account for the proximate impact of news items onconsequential market phenomena, an event study methodology was applied in order to estimate and construct themodels of dependency of cumulative abnormal return (CAR) on news tone level, and control for financial and nonfinancialfactors. Our results provide evidence for the positive impact of the tone of news texts on the share prices of Russian companies.The increase in news tone by one standard deviation leads to a cumulative abnormal stock return increase of 0.26percentage points. This result is consistent with previous research conducted on data from developed stock markets.Moreover, the relationship between the tone or sentiment level of a news item and the stock price reaction is linear,without the diminishing marginal effect. Our conclusions should prompt companies to invest effort in delivering information in a tonally positive way,highlighting the most positive news. Investors, in turn, should rationally approach the interpretation of publishedinformation.

scholarly journals How Does the Accounting Conservatism Affect the Stock Price Crash Risk in Pakistan: The Complementary Role of Managerial and Institutional Ownership

2021 ◽  
Vol 7 (3) ◽  
pp. 607-621
Author(s):  
Aon Waqas ◽  
Danish Ahmed Siddiqui
Keyword(s):  
Stock Prices ◽  
Information Disclosure ◽  
Stock Price ◽  
Panel Data Analysis ◽  
Institutional Ownership ◽  
Accounting Conservatism ◽  
Crash Risk ◽  
Agency Conflicts ◽  
Complementary Role

Purpose: The conservatism of accounting and robustness of accounting information disclosure may restrain the irrational behavior of investors and help to reduce the risk of stock price crashes. This study aims to explore this in the context of developing country Pakistan. More specifically, this study investigates the effect of accounting conservatism on stock price crash risk. We also examine the complementary role of managerial and institutional ownership in strengthening this effect. Design/Methodology/Approach: This study conducts the panel data analysis of 155 nonfinancial firms listed in PSX from 2007 to 2019. This study calculates the C-Score to measure accounting conservatism. This study measures the firm’s stock price crash risk by calculating the DUVOL of weekly share prices. Findings: This study finds that there is a significant negative effect of accounting conservatism on firms’ stock price crash risk. This study also finds that managerial ownership enhances the stock price crash risk of the sample firms significantly as a moderator while there is no significant moderating influence of institutional ownership. Implications/Originality/Value: The competent authorities of Pakistan should consider agency conflicts. They should direct the firms’ management to share equal information in time regardless of whether the information is good or bad for stock prices.

scholarly journals PENGARUH INTERNET FINANCIAL REPORTING, TINGKAT PENGUNGKAPAN INFORMASI BERBASIS WEBSITE, DAN JUMLAH SAHAM BEREDAR TERHADAP FREKUENSI PERDAGANGAN SAHAM

2021 ◽  
Vol 4 (2) ◽  
pp. 447-462
Author(s):  
Meidy Tiara Nur Sausan ◽  
Erna Sulistyowati
Keyword(s):  
Financial Reporting ◽  
Stock Prices ◽  
Information Disclosure ◽  
Quantitative Methods ◽  
Investment Decision ◽  
Secondary Data ◽  
Stock Trading ◽  
Trading Frequency ◽  
Investment Decision Making ◽  
The Impact

The objectives of this study are: (1) to prove, test, empirically and analyze the impact of Internet Financial Reporting on Stock Trading Frequency, (2) to prove, test, empirically and analyze the impact of the Website-Based Information Disclosure Level on Stock Trading Frequency, (3) Testing, proving, by empirical means and analyzing the impact of the Number of Outstanding Shares on the Trading Frequency of Shares. This study uses quantitative methods using secondary data taken from the company's website and the IDX through www.idx.co.id in 2016-2018. In this study, we will use data analysis techniques with multiple linear regression with the help of SmartPLS 3.29. The results of this study show that (1) "Internet Financial Reporting" has no effect on Stock Trading Frequency, (2) Website-Based Information Disclosure has no effect on Stock Trading Frequency, (3) Number of Outstanding Shares has no effect on Stock Trading Frequency. The implications of this research are paying attention to financial information in the company that is listed through the website then investors can predict future financial performance and prospects and can make decisions related to investment decision making, by uploading and updating information owned by the company can provide education to the public. users and prosper the company. The high and low level of disclosure of company website information will have a small impact on the impact of disclosure on investor decisions. In addition, taking into account factors other than the number of outstanding shares, such as fundamental factors and stock prices, can attract investors to invest in the company, because basically investors in buying shares must choose liquid shares.

The Relation between National Stock Prices and Effective Exchange Rates: Does It Affect Exchange Rate Exposure?

2015 ◽  
Vol 15 (2) ◽  
pp. 241-256 ◽  
Author(s):  
Marko Korhonen
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Exchange Rates ◽  
Stock Prices ◽  
Risk Sharing ◽  
International Risk Sharing ◽  
Exchange Rate Exposure ◽  
Effective Exchange ◽  
The Exchange Rate ◽  
Cointegration Relationship

There is twofold contribution in this paper. First, by using monthly data for 16 industrialized countries for the period 1973–2011 we find evidence of time-varying cointegration relationship between effective exchange rates and national stock market indices. Second, we present that the cointegration relationship affects exchange rate exposure. We propose that the exchange rate exposure effect changes when the connection between the exchange rate and stock market emerges. This is a new result and reflects importance of these markets’ joint role in international risk sharing.

scholarly journals Research on Emotional Leverage Effect of Capital Flow of Well-known Investment Institutions

2021 ◽  
pp. 104-108
Author(s):  
Lilin Li ◽  
◽  
Hanqiang Liu ◽  
Keyword(s):  
Stock Prices ◽  
Information Disclosure ◽  
Stock Price ◽  
Investor Sentiment ◽  
Principal Component ◽  
Developed Countries ◽  
Capital Flow ◽  
Leverage Effect ◽  
Individual Investors ◽  
Protection Mechanism

China’s capital market started late, compared with developed countries, China’s individual investors account for a larger proportion. Because individual investor does not have the specialized investment knowledge and the mature investment psychology, its investment behavior often will receive the external factor the interference to produce “The herd effect”, therefore, the well-known investor institutions can rely on the reputation effect brought by their own popularity to influence the stock price fluctuation by influencing the investor sentiment, thus exceeding the influence degree of the corresponding buying and selling fund flow. This paper defines the above process as the emotional leverage effect of well-known investment institutions. In this paper, we use principal component analysis to construct the index of investor sentiment, and use correlation test to find that the well-known investment institutions, by virtue of their own reputation, make their capital flow have a significant impact on investor sentiment, there is a significant positive correlation between investor sentiment and the fluctuation of individual stock prices in the industry. Small and medium-sized investors will suffer investment losses because of their blind faith in the trading strategies of well-known institutions. In order to further enhance the protection of investors’ interests, this paper puts forward suggestions to improve the protection mechanism of small and medium-sized investors’ rights and interests from the perspective of information disclosure and policy supervision.

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