Stock price synchronicity and liquidity: Retail investors’ risk preference under funding liquidity shocks

2021 ◽  
Author(s):  
Doojin Ryu ◽  
Jinyoung Yu
Keyword(s):  
Stock Price ◽  
Risk Preference ◽  
Stock Price Synchronicity ◽  
Liquidity Shocks ◽  
Funding Liquidity ◽  
Retail Investors

Stock Price Synchronicity and Skewness

2013 ◽  
Author(s):  
Omar Farooq ◽  
Mohammed Bouaddi ◽  
Mohamed Douch
Keyword(s):  
Stock Price ◽  
Stock Price Synchronicity

Analysts' Information Acquisition and Stock Price Synchronicity: A Regulatory Perspective from China

2018 ◽  
Vol 33 (1) ◽  
pp. 153-179 ◽  
Author(s):  
Haiyan Jiang ◽  
Donghua Zhou ◽  
Joseph H. Zhang
Keyword(s):  
Insider Trading ◽  
Private Information ◽  
Stock Prices ◽  
Information Acquisition ◽  
Stock Price ◽  
Specific Information ◽  
Stock Price Synchronicity ◽  
Playing Field ◽  
Information Advantage ◽  
Private Information Acquisition

SYNOPSIS Against the backdrop of the Chinese Directive 40 (China's Reg FD) issued in 2007 as an attempt to curb insider trading and to level the information playing field, this study investigates whether analysts' private information acquisition influences the extent to which firm-specific information is impounded into stock prices, i.e., stock price synchronicity, and how the restrictions on selective disclosures imposed by Directive 40 have shaped the relationship between analyst information acquisition and synchronicity. Using a pre-Directive 40 sample, we show that synchronicity is negatively related to analysts' private information acquisition, which provides support for the “information advantage” argument of analysts' information production. However, the ability of analysts' private information acquisition in improving firm-specific information incorporated into stock price is mitigated post-Directive 40 due to a restriction on selective disclosures and/or private communication. Moreover, we find that this regulatory impact varies for firms being followed by affiliated analysts versus non-affiliated analysts. JEL Classifications: G14; G15; G17; G18.

Marketplace Lending, Information Aggregation, and Liquidity

2020 ◽  
Author(s):  
Julian Franks ◽  
Nicolas Serrano-Velarde ◽  
Oren Sussman
Keyword(s):  
Information Aggregation ◽  
Data Set ◽  
Information Efficiency ◽  
Liquidity Shocks ◽  
Unique Data ◽  
Retail Investors ◽  
Over Time

Abstract Lending marketplaces aimed at directly connecting retail lenders and borrowers retreat from auctions and, instead, set prices and allocate credit on their own, despite evidence that retail investors possess valuable soft and nonstandard information. We investigate this puzzle by analyzing a unique data set of 7,455 auctions and 34 million bids from a leading British peer-to-business platform. We find that the platform was vulnerable to liquidity shocks, resulting in sizable deviations from information efficiency. Deviations increased over time because of a growing role played by noncrowd players, particularly large investors and algorithms.

scholarly journals Illiquidity and the Measurement of Stock Price Synchronicity

2020 ◽  
Vol 37 (1) ◽  
pp. 419-456 ◽  
Author(s):  
Joachim Gassen ◽  
Hollis A. Skaife ◽  
David Veenman
Keyword(s):  
Stock Price ◽  
Stock Price Synchronicity

Media coverage and stock price synchronicity

2020 ◽  
Vol 67 ◽  
pp. 101430
Author(s):  
Tung Lam Dang ◽  
Man Dang ◽  
Luong Hoang ◽  
Lily Nguyen ◽  
Hoang Long Phan
Keyword(s):  
Media Coverage ◽  
Stock Price ◽  
Stock Price Synchronicity
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