Stock price synchronicity and price informativeness: Evidence from a regulatory change in the U.S. banking industry

Abstract

Whether return synchronicity is associated with higher or lower stock price informativeness is still an ongoing debate in the academic literature. This paper contributes to this debate by exploiting an exogenous shock, provided by a regulatory change introduced by the Federal Reserve in 2015, and examining its impact on return synchronicity using a sample of U.S. listed bank holding companies (BHCs) operating during the period of 2014: Q3 -2016: Q2. Applying a regression discontinuity design, we find that return synchronicity of treated BHCs decreases after the regulatory change. This finding suggests that lower return synchronicity represents lower stock price informativeness.

Stock bar public opinion and stock price synchronicity

“…In order to control the potential cross-section correlation, the standard errors are clustered by the company dimension in all regressions. For detailed definitions, let us see Table 1 -Variable definition and construction [34][35][36][37][38][39].…”

الدور التأثيري لدقة توقعات الأرباح كمتغير وسيط في العلاقة بين لزوجة التكاليف والمحتوى المعلوماتي لأسعار الأسهم: دليل تطبيقي من البيئة المصرية

“…‫المحاسبية‬ ‫األدبيات‬ ‫وتركز‬ (e.g., Chen et al, 2010;Guenther et al, 2014;Banker et al, 2018;Reimer, 2019;Cannon et al, 2020;Agarwal, 2022 (Anderson et al, 2003;Guenther et al, 2014;Banker et al, 2018;Reimer, 2019) ، ‫وتلعب‬ ‫في‬ ً ‫حاسما‬ ً ‫دورا‬ ً ‫أيضا‬ ‫اإلدارية‬ ‫التوقعات‬ ‫تكاليف‬ ‫نظرية‬ ‫التعديل‬ Chen et al, 2019;Hartlieb, 2023 (Anderson et al, 2003;Guenther et al, 2014;Costa and Habib, 2021) . ‫توصلت‬ ‫التي‬ ‫التجريبية‬ ‫الدراسات‬ ‫نتائج‬ ‫مع‬ ‫النتائج‬ ‫هذه‬ ‫وتتماشى‬ ‫الشركات‬ ‫حوكمة‬ ‫آليات‬ ‫أن‬ ‫إلى‬ (Chen et al, 2012;Ezat, 2014;Loy and Hartlieb, 2021 ‫المستقبلية‬ ‫األرباح‬ ‫بشأن‬ ‫السوق‬ ‫في‬ ‫المشاركين‬ ‫توقعات‬ (Lyimo & Pradesh, 2014;Lee, 2018;Todea, 2018;Choi et al, 2019;Almasarwah et al, 2020;Rasheed & Kouser, 2020;Abedifar et al, 2021;Li & Sun, 2023;Zhang et al, 2023) . (Collins et al, 1994;Gelb & Zarowin, 2002;Lundholm & Myers, 2002;Lee, 2018; (Collins et al, 1994;Lundholm & Myers, 2002;Haw et al, 2012;Agnes Cheng & Li, 2014;Choi et al, 2019) .…”

Stock Price Synchronicity and Technical Trading Effectiveness

“…Second, most studies on synchronicity have concentrated on the U.S. stock market (Xing & Anderson, 2011;Chue, Gul, & Mian, 2019;Abedifar, Bouslah, & Zheng, 2021). This study analyzes the emerging market of Taiwan, which has implications for trading strategy.…”