Stock Price Informativeness, Analyst Coverage and Economic Growth: Evidence from Emerging Markets

Cheng, Fang Chin; Gul, Ferdinand A.; Srinidhi, Bin

doi:10.2139/ssrn.2197620

Cited by 1 publication

(2 citation statements)

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“…Roll (1988) finds that the extent to which stocks move together depends on the firm‐specific and market‐wide relative information incorporated into stock prices. We measure stock returns using the Fama–French three‐factor model (Cheng et al, 2012; Ferreira et al, 2011). Data for estimating the three‐factor model are obtained from Kenneth French's website.…”

Section: Data and Variablesmentioning

confidence: 99%

“…Some prior studies show that prior‐year CSR industry average score enhances firm engagement to carry out CSR activities (Cheng et al, 2012, El Ghoul et al, 2011). Another study conducted on U.S. data indicates that high CSR firms' head offices are located in Democratic states (blue) and low CSR firms' head offices are located in Republican states (red) (Rubin, 2008).…”

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confidence: 99%

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How does corporate social responsibility engagement affect the information content of stock prices?

2021

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This paper investigates the effect of corporate social responsibility on the information content of stock prices. Using a sample of 877 United States‐listed firms, we provide evidence that a firm's corporate social responsibility (CSR) performance has a negative effect on stock price synchronicity, suggesting that socially responsible firms commit themselves to high transparency standards, leading to more informative stock prices. Moreover, the negative relationship between sustainable corporate policies and stock price synchronicity is more pronounced in better‐governed, highly competitive, and closely monitored firms. Our findings are robust to potential endogeneity problems, additional control variables, and alternative sample composition. This study contributes to the literature by providing original insights on the CSR performance link with firm‐specific information impounded in stock prices. Further, we uniquely contribute to the CSR dimensions literature by separately analyzing which CSR dimension contributes to improving the firm's information environment.

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Section: Data and Variablesmentioning

confidence: 99%

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confidence: 99%