Does Low Price Synchronicity Mean More Informativeness in Stock Prices? Empirical Evidence on Information Integration Speed in the Chinese Stock Market

Hu, Yingyi; Zhao, Tiao; Zhang, Lin

doi:10.1080/1540496x.2018.1528973

Cited by 15 publications

(5 citation statements)

References 48 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…For example, as argued by Morck et al (2013), Chinese stocks display, on average, R 2 values more than twice as high as U.S. equities. Although many studies also focus on R 2 in China, these is no literature that studies the pricing effect of R 2 (cf., Gul et al, 2010;Hu, Zhao, & Zhang, 2019;Li et al, 2015;Xu, Chan, Jiang, & Yi, 2013;Zhang, Li, Shen, & Teglio, 2016). Thus, this paper will help to close this gap and investigate the pricing effect of stock price nonsynchronicity.…”

Section: Literature Reviewmentioning

confidence: 98%

Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China

Long

Zaremba

Jiang

2020

Economic Research-Ekonomska Istraživanja

View full text Add to dashboard Cite

We are the first to examine the pricing of relative idiosyncratic risk, or price nonsynchronicity, in the Chinese equity market. Using several tests, we investigate returns on more than 2700 companies in the period 1998 to 2018. Contrary to the U.S. evidence, price nonsynchronicity negatively predicts future returns in the cross-section. A value-weighted strategy going long (short) the quintile of least (most) synchronised stocks produces a negative monthly six-factor model alpha of À0.61%. Also, we demonstrate that the effect is driven by the low-idiosyncratic volatility anomaly. Once the absolute idiosyncratic risk is taken into account, the nonsynchronicity becomes irrelevant for future returns.

show abstract

Section: Literature Reviewmentioning

confidence: 98%

Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China

Long

Zaremba

Jiang

2020

Economic Research-Ekonomska Istraživanja

View full text Add to dashboard Cite

show abstract

“…This updating of stock price information in investments renders informed investors' private information obsolete, thereby reducing the problem of information asymmetry. According to Wang (2010), S. Lai et al (2014), andHu et al (2019), the presence of noise traders trading alongside informed traders significantly boosts trading volume, increases market depth, lowers trading costs and information asymmetry, and subsequently makes it easier for information to be incorporated into prices.…”

Section: Theoretical Framework and Hypothesis Developmentmentioning

confidence: 99%

“…According to Wang (2010), S. Lai et al (2014), and Hu et al (2019), the presence of noise traders trading alongside informed traders significantly boosts trading volume, increases market depth, lowers trading costs and information asymmetry, and subsequently makes it easier for information to be incorporated into prices.…”

Section: Theoretical Framework and Hypothesis Developmentmentioning

confidence: 99%

Does Private Information Always Hurt Retail Investors? The Impact of Private Information on Cost of Equity: Moderating Role of Investment Adjustment

Saleem,

Usman,

Akhtar

2023

Sage Open

View full text Add to dashboard Cite

Private information puts naïve traders at a significant trading disadvantage and at the same it provide crucial signals managers for investment adjustment. These two forces have opposing effects on the cost of equity, and the overall effect is determined by which force dominates. For clinching this effect, this study finds out how investment adjustment plays the moderating role between private information and COE. The study employs data of non-financial firms listed on PSX from 2008 to 2019. Further, the study employs a two-step system GMM dynamic panel estimator to analyze the data. The findings of the study show that companies with a low investment adjustment flexibility known as “value firms” do not gain as much from information incorporated in market prices compared to firms having high flexibility in adjusting investment “growth firms.” This study adds to the literature by revealing unique insight on the effect of investment adjustment in reducing the influence of private information on COE and corporate investment as well. JEL classification: D82, G14, G410.

show abstract

“…The first is a stricter financial statement regulation from the State to enforce compliance from listed companies; as Hung et al (2018) points out, complete disclosure of financial information is also encouraged for firms to gain trust from investors. Second, a healthy increase of foreign ownership could improve the informational efficiency of the equity market (Vo 2017a), as stock price informativeness, i.e., how changes in earnings are presented in the stock price (Hu et al 2018), is found to fluctuate in accordance with the increase in foreign ownership. A robust financial information system is also critical to carry further research on the stock market, which is reflected in stock returns and stock liquidity studies , Huynh et al 2018, Pham et al 2018a.…”

Section: Stock Marketmentioning

confidence: 99%

A Systematic and Critical Review on the Research Landscape of Finance in Vietnam from 2008 to 2020

Tran

et al. 2021

JRFM

View full text Add to dashboard Cite

This paper endeavors to understand the research landscape of finance research in Vietnam during the period 2008 to 2020 and predict the key defining future research directions. Using the comprehensive database of Vietnam’s international publications in social sciences and humanities, we extract a dataset of 314 papers on finance topics in Vietnam from 2008 to 2020. Then, we apply a systematic approach to analyze four important themes: Structural issues, Banking system, Firm issues, and Financial psychology and behavior. Overall, there have been three noticeable trends within finance research in Vietnam: (1) assessment of financial policies or financial regulation, (2) deciphering the correlates of firms’ financial performances, and (3) opportunities and challenges in adopting innovations and ideas from foreign financial market systems. Our analysis identifies several fertile areas for future research, including financial market analysis in the post-COVID-19 eras, fintech, and green finance.

show abstract

Does Low Price Synchronicity Mean More Informativeness in Stock Prices? Empirical Evidence on Information Integration Speed in the Chinese Stock Market

Cited by 15 publications

References 48 publications

Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China

Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China

Does Private Information Always Hurt Retail Investors? The Impact of Private Information on Cost of Equity: Moderating Role of Investment Adjustment

A Systematic and Critical Review on the Research Landscape of Finance in Vietnam from 2008 to 2020

Contact Info

Product

Resources

About