Peer firms’ reporting frequency and stock price synchronicity: European evidence

IF 3.3 Q1 BUSINESS, FINANCE
Jesper Haga , Kenneth Högholm , Dennis Sundvik
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引用次数: 0

Abstract

This study investigates whether and how the amount of firm-specific information incorporated into stock prices changes when there is more quarterly, rather than semi-annual, reporting in the peer group. Using a sample of 33,338 European firm-year observations from 2004 to 2017, we find a significantly negative relationship between stock price synchronicity and concentration of quarterly reporting among a firm’s peers. We argue that more public peer disclosure stimulates acquisition of private firm-specific information. Additional tests show that the negative relationship is strongest among firms with semi-annual reporting, opaque earnings, and low institutional ownership. We further decompose the synchronicity measure into market and industry co-movement and find that the former is decreasing while the latter is increasing with more frequent peer reporting.

同业公司报告频率与股价同步性:欧洲证据
本研究调查了当同行中有更多的季度报告而不是半年报告时,纳入股票价格的公司特定信息的数量是否以及如何变化。利用2004年至2017年的33338个欧洲公司年度观察样本,我们发现股价同步性与公司同业季度报告集中度之间存在显著的负相关关系。我们认为,更多的公开同行披露刺激了私人公司特定信息的获取。额外的测试表明,在半年度报告、不透明收益和低机构所有权的公司中,负相关关系最强。我们进一步将同步性测度分解为市场和行业协同运动,发现随着同行报告频率的增加,市场协同运动呈下降趋势,行业协同运动呈上升趋势。
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来源期刊
CiteScore
4.50
自引率
3.80%
发文量
31
期刊介绍: The Journal of International Accounting, Auditing and Taxation publishes articles which deal with most areas of international accounting including auditing, taxation and management accounting. The journal''s goal is to bridge the gap between academic researchers and practitioners by publishing papers that are relevant to the development of the field of accounting. Submissions are expected to make a contribution to the accounting literature, including as appropriate the international accounting literature typically found in JIAAT and other primary US-based international accounting journals as well as in leading European accounting journals. Applied research findings, critiques of current accounting practices and the measurement of their effects on business decisions, general purpose solutions to problems through models, and essays on world affairs which affect accounting practice are all within the scope of the journal.
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