The Experts below are selected from a list of 360 Experts worldwide ranked by ideXlab platform
Randy I Anderson - One of the best experts on this subject based on the ideXlab platform.
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stock price Synchronicity and public firm specific information
Social Science Research Network, 2011Co-Authors: Xuejing Xing, Randy I AndersonAbstract:How stock price Synchronicity mirrors firm-specific information has been a subject of much debate. We posit that price Synchronicity can be low in either good or bad firm-specific information environments because stock prices incorporate both public and private information. Using three proxies for the cross-sectional variations in public firm-specific information and a large sample, we provide evidence supporting an inversely U-shaped relation between Synchronicity and public information. Our results help reconcile the conflicting findings of previous studies and cast doubt on the validity of stock price Synchronicity as a uniform indicator of the quality of a firm’s information environment.
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stock price Synchronicity and public firm specificinformation
Journal of Financial Markets, 2011Co-Authors: Xuejing Xing, Randy I AndersonAbstract:Abstract How stock price Synchronicity mirrors firm-specific information has been a subject of much debate. We posit that price Synchronicity can be low in either good or bad firm-specific information environments because stock prices incorporate both public and private information. Using three proxies for the cross-sectional variations in public firm-specific information and a large sample, we provide evidence supporting an inversely U-shaped relation between Synchronicity and public information. Our results help reconcile the conflicting findings of previous studies and cast doubt on the validity of stock price Synchronicity as a uniform indicator of the quality of a firm’s information environment.
Darren T Roulstone - One of the best experts on this subject based on the ideXlab platform.
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analyst initiations of coverage and stock return Synchronicity
Social Science Research Network, 2012Co-Authors: Steven S Crawford, Darren T RoulstoneAbstract:We examine how the information produced by analysts when they initiate coverage contributes to the mix of firm-specific, industry-, and market-wide information available about the firm. We hypothesize that the first analyst to initiate coverage provides low cost market and industry information allowing him/her to follow more stocks, whereas subsequent analysts provide firm-specific information to distinguish themselves from existing analysts. We use stock return Synchronicity to measure the mix of information available about a firm, with higher Synchronicity indicating more industry and market information. Coverage initiations of firms with no prior analyst coverage increase Synchronicity suggesting that analysts produce industry- and market-wide information. In contrast, analysts initiating coverage on firms with existing coverage appear to focus on producing firm-specific information as these initiations lead to reduced Synchronicity. Together, our findings indicate that the type of information analysts produce at initiation depends on the information provided by other analysts.
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analyst initiations of coverage and stock return Synchronicity
The Accounting Review, 2012Co-Authors: Steven S Crawford, Darren T RoulstoneAbstract:ABSTRACT: We examine how the information produced by analysts when they initiate coverage contributes to the mix of firm-specific, industry-, and market-wide information available about the firm. We hypothesize that the first analyst to initiate coverage provides low-cost market and industry information allowing him/her to follow more stocks, whereas subsequent analysts provide firm-specific information to distinguish themselves from existing analysts. We use stock return Synchronicity to measure the mix of information available about a firm, with higher Synchronicity indicating more industry and market information. Coverage initiations of firms with no prior analyst coverage increase Synchronicity, suggesting that analysts produce industry- and market-wide information. In contrast, analysts initiating coverage on firms with existing coverage appear to focus on producing firm-specific information as these initiations lead to reduced Synchronicity. Together, our findings indicate that the type of informati...
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the influence of analysts institutional investors and insiders on the incorporation of market industry and firm specific information into stock prices
The Accounting Review, 2004Co-Authors: Joseph D Piotroski, Darren T RoulstoneAbstract:We investigate the extent to which the trading and trade‐generating activities of three informed market participants—financial analysts, institutional investors, and insiders—influence the relative amount of firm‐specific, industry‐level, and market‐level information impounded into stock prices, as measured by stock return Synchronicity. We find that stock return Synchronicity is positively associated with analyst forecasting activities, consistent with analysts increasing the amount of industry‐level information in prices through intra‐industry information transfers. In contrast, stock return Synchronicity is inversely related to insider trades, consistent with these transactions conveying firm‐specific information. Supplemental tests show that insider and institutional trading accelerate the incorporation of the firm‐specific component of future earnings news into prices alone, while analyst forecasting activity accelerates both the industry and firm‐specific component of future earnings news. Our resul...
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the influence of analysts institutional investors and insiders on the incorporation of market industry and firm specific information into stock prices
Social Science Research Network, 2004Co-Authors: Joseph D Piotroski, Darren T RoulstoneAbstract:We investigate the extent to which the trading and trade-generating activities of three informed market participants -- financial analysts, institutional investors, and insiders -- influence the relative amount of firm-specific, industry-level and market-level information impounded into stock prices, as measured by stock return Synchronicity. We find that stock return Synchronicity is positively associated with analyst forecasting activities, consistent with analysts increasing the amount of industry-level information in prices through intra-industry information transfers. In contrast, stock return Synchronicity is inversely related to insider trades, consistent with these transactions conveying firm-specific information. Supplemental tests show that insider and institutional trading accelerate the incorporation of the firm-specific component of future earnings news into prices alone, while analyst forecasting activity accelerates both the industry and firm-specific component of future earnings news. Our results suggest that all three parties influence the firm's information environment, but the type of price-relevant information conveyed by their activities depends on each party's relative information advantage.
Kalok Chan - One of the best experts on this subject based on the ideXlab platform.
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price informativeness and stock return Synchronicity evidence from the pricing of seasoned equity offerings
Journal of Financial Economics, 2014Co-Authors: Kalok Chan, Yuecheong ChanAbstract:Abstract We investigate what stock return Synchronicity reflects in terms of price informativeness by examining its effect on the pricing of seasoned equity offerings (SEOs). Based on 5,087 SEOs from 1984 to 2007, we find a significantly negative relation between stock return Synchronicity (estimated as the logit transformation of the R-squared statistic from a two-factor regression) and SEO discounts (the percentage differences between pre-offer day closing prices and offer prices). The negative relation is strongest when there is no analyst coverage, and it declines as analyst coverage increases. This shows that stock price is more informative when stock return Synchronicity is higher and also that information asymmetry can be mitigated by analyst coverage. We further decompose stock return Synchronicity into the market comovement and industry comovement components and find that both components are equally important in affecting SEO discounts.
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stock price Synchronicity and liquidity
Journal of Financial Markets, 2013Co-Authors: Kalok Chan, Allaudeen Hameed, Wenjin KangAbstract:Abstract We argue and provide evidence that stock price Synchronicity affects stock liquidity. Under the relative Synchronicity hypothesis, higher return co-movement (i.e., higher systematic volatility relative to total volatility) improves liquidity. Under the absolute Synchronicity hypothesis, stocks with higher systematic volatility or beta are more liquid. Our results support both hypotheses. We find all three illiquidity measures (effective proportional bid-ask spread, price impact measure, and Amihud's illiquidity measure) are negatively related to stock return co-movement and systematic volatility. Our analysis also shows that larger industry-wide component in returns improves liquidity. We find that improvement in liquidity following additions to the S&P 500 Index is related to the stock's increase in return co-movement.
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stock price Synchronicity and liquidity
Social Science Research Network, 2012Co-Authors: Kalok Chan, Allaudeen Hameed, Wenjin KangAbstract:We provide a simple theoretical analysis based on Kyle's (1985) framework, and demonstrate how stock price Synchronicity can affect the adverse information risk that market makers face and therefore the liquidity of the stock. Our empirical evidence is consistent with our theoretical conjecture. We find that stocks which co-move more with the market index have higher liquidity, computed based on effective spread, price impact or Amihud illiquidity measures. The results are obtained after controlling for cross-sectional differences in firm size, price levels, total and idiosyncratic volatilities, and are robust to both S&P and non S&P index stocks. Besides market co-movement, industry wide component in returns also reduces the adverse selection risk and improves the liquidity. We also find results related to indexing effect. Following the addition to the S&P 500, a firm that experiences an increase in co-movement with the market is more likely to be accompanied by an improvement in liquidity.
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stock price Synchronicity and analyst coverage in emerging markets
Journal of Financial Economics, 2006Co-Authors: Kalok Chan, Allaudeen HameedAbstract:This paper examines the relationship between the stock price Synchronicity and analyst activity in emerging markets. Contrary to conventional wisdom that suggests that security analysts specialize in the production of firm-specific information, we find that the security analysts predominantly produce market-wide information. Using the R-square statistics of the market model as a measure of the Synchronicity of stock price movements, we find that more analyst coverage leads to an increase in stock price Synchronicity. Furthermore, after controlling for the influence of firm size on the lead-lag relation, we find that returns on high analyst-following portfolio lead returns on low analyst-following portfolio more than vice versa. We also find that the aggregate changes in the earnings forecast of high analyst-following portfolio affect the aggregate returns of the portfolio itself as well as the the low analyst-following portfolio while the aggregate changes in the earnings forecasts of low analyst-following portfolio have no predictive ability. Finally, when the forecast dispersion is high, the effect of analyst coverage on stock price Synchronicity is reduced.
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stock price Synchronicity and analyst coverage in emerging markets
Journal of Financial Economics, 2006Co-Authors: Kalok Chan, Allaudeen HameedAbstract:Abstract This paper examines the relation between the stock price Synchronicity and analyst activity in emerging markets. Contrary to the conventional wisdom that security analysts specialize in the production of firm-specific information, we find that securities which are covered by more analysts incorporate greater (lesser) market-wide (firm-specific) information. Using the R 2 statistics of the market model as a measure of Synchronicity of stock price movement, we find that greater analyst coverage increases stock price Synchronicity. Furthermore, after controlling for the influence of firm size on the lead–lag relation, we find that the returns of high analyst-following portfolio lead returns of low analyst-following portfolio more than vice versa. We also find that the aggregate change in the earnings forecasts in a high analyst-following portfolio affects the aggregate returns of the portfolio itself as well as those of the low analyst-following portfolio, whereas the aggregate change in the earnings forecasts of the low analyst-following portfolio have no predictive ability. Finally, when the forecast dispersion is high, the effect of analyst coverage on stock price Synchronicity is reduced.
Iftekhar Hasan - One of the best experts on this subject based on the ideXlab platform.
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institutional development and stock price Synchronicity evidence from china
Research Papers in Economics, 2013Co-Authors: Iftekhar Hasan, Liang Song, Paul WachtelAbstract:Better developed legal and political institutions result in greater availability of reliable firm-specific information. When stock prices reflect more firm-specific information there will be less stock price Synchronicity. This paper traces the experience of China, an economy undergoing dramatic institutional change in the last 20 years with rich variation in experiences across provinces. We show that stock price Synchronicity is lower when there is institutional development in terms of property rights protection and rule of law. Further-more, we investigate the influence of political pluralism on Synchronicity. A more pluralistic regime reduces uncertainty and opaqueness regarding government interventions and therefore increases the value of firm-specific information that reduces Synchronicity. JEL Classification Numbers: G14; G15; G24; G38 Keywords: Institutions; China; stock price Synchronicity
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institutional development and stock price Synchronicity evidence from china
Social Science Research Network, 2013Co-Authors: Iftekhar Hasan, Liang Song, Paul WachtelAbstract:Better developed legal and political institutions result in greater availability of reliable firm-specific information. When stock prices reflect more firm-specific information there will be less stock price Synchronicity. This paper traces the experience of China, an economy undergoing dramatic institutional change in the last 20 years with rich variation in experiences across provinces. We show that stock price Synchronicity is lower when there is institutional development in terms of property rights protection and rule of law. Furthermore, we investigate the influence of political pluralism on Synchronicity. A more pluralistic regime reduces uncertainty and opaqueness regarding government interventions and therefore increases the value of firm-specific information that reduces Synchronicity.
Pablo Jaque - One of the best experts on this subject based on the ideXlab platform.
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the reaction force constant as an indicator of Synchronicity nonSynchronicity in 4 2 cycloaddition processes
Physical Chemistry Chemical Physics, 2013Co-Authors: Diana Yepes, Patricia Perez, Oscar Donosotauda, Jane S Murray, Peter Politzer, Pablo JaqueAbstract:A variety of experimental and computational analyses support the concept that a chemical reaction has a transition region, in which the system changes from distorted states of the reactants to distorted states of the products. The boundaries of this region along the intrinsic reaction coordinate ξ, which includes the traditional transition state, are defined unambiguously by the minimum and maximum of the reaction force F(ξ), which is the negative gradient of the potential energy V(ξ). The transition region is characterized by the reaction force constant κ(ξ), the second derivative of V(ξ), being negative throughout. It has recently been demonstrated that the profile of κ(ξ) in the transition region is a sensitive indicator of the degree of Synchronicity of a concerted reaction: a single κ(ξ) minimum is associated with full or nearly full Synchronicity, while a κ(ξ) maximum (negative) between two minima is a sign of considerable nonSynchronicity, i.e. a two-stage concerted process. We have now applied reaction force analysis to the Diels–Alder cycloadditions of the various cyanoethylenes to cyclopentadiene. We examine the relative energy requirements of the structurally- and electronically-intensive phases of the activation processes. We demonstrate that the variation of κ(ξ) in the transition region is again indicative of the level of Synchronicity. The fully synchronous cycloadditions are those in which the cyanoethylenes are symmetrically substituted. Unsymmetrical substitution leads to minor nonSynchronicity for monocyanoethylene but much more – i.e. two stages – for 1,1-dicyano- and 1,1,2-tricyanoethylene. We also show that the κ(ξ) tend to become less negative as the activation energies decrease.
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the reaction force constant an indicator of the Synchronicity in double proton transfer reactions
Physical Chemistry Chemical Physics, 2012Co-Authors: Diana Yepes, Jane S Murray, Peter Politzer, Pablo JaqueAbstract:Earlier work, both experimental and computational, has drawn attention to the transition region in a chemical reaction, which includes the traditional transition state but extends along the intrinsic reaction coordinate ξ from perturbed forms of the reactants to perturbed forms of the products. The boundaries of this region are defined by the reaction force F(ξ), which is the negative gradient of the potential energy V(ξ) of the system along ξ. The reaction force constant κ(ξ), the second derivative of V(ξ), is negative throughout the transition region. We have now demonstrated, for a series of twelve double proton transfer processes, that the profile of κ(ξ) in the transition region is an indicator of the Synchronicity of the two proton migrations in each case. When they are fully or nearly fully synchronous, κ(ξ) has a single minimum in the transition region. When the migrations are considerably nonsynchronous, κ(ξ) has two minima separated by a local maximum. Such an assessment of the degree of Synchronicity cannot readily be made from an examination of the transition state alone, nor it is easily detected in the profiles of V(ξ) and F(ξ).
