Date of Award
10-2010
Thesis Type
PhD
Document Type
Thesis
Divisions
Faculty of Business and Economics (formally known as Faculty of Business and Accountancy)
Institution
Universiti Malaya
Abstract
The issue of stock price synchronicity as a measure of stock price informativeness has recently attracted much research attention. Using cross-country data from 40 countries, this study investigates the relationship between corporate transparency (measured by reporting timeliness, financial analyst following and credibility of disclosures) and stock price synchronicity. In addition, this study investigates the moderating effects of reporting timeliness on the relationship between financial analyst and credibility of disclosures and stock price synchronicity. Specifically, it examines whether the relationship between financial analysts and disclosure credibility and stock price synchronicity is stronger or weaker given the range of timeliness of financial reporting. Five hypotheses are tested in this study. The first three hypotheses propose that stock price synchronicity, as an inverse measure of stock price informativeness, is negatively associated with timeliness (frequency and intensity of disclosures) and positively associated with financial analyst following and credibility of disclosures. The next two hypotheses test the moderating effects of reporting frequency on the relationship between number of analyst following and disclosures credibility and stock price synchronicity. Results show the following: First the OLS results support the hypothesis that the higher (lower) the reporting frequency the lower (higher) the stock price synchronicity. This result is consistent with the information perspective of stock price synchronicity. Second, the standard multiple regression results support the positive relationship between financial analyst following and stock price synchronicity. This result is consistent with the earlier findings that financial analysts are outsiders who generally have less access to firm-level idiosyncratic information than insiders or big institutional investors in the firm. Therefore, analyst efforts could be directed towards obtaining and impounding industry and market level information into prices. Third, the results suggest that higher disclosures credibility helps in spreading more market and industry information. This result supports the prior evidence that audit qualification in annual reports does not provide timely signals to the capital market since it is accompanied with annual firm public information. Fourth, the relationship between analysts following and stock price synchronicity is moderated by the range of reporting frequency. Finally, range of reporting frequency is irrelevant to the relationship between credibility of disclosures and stock price synchronicity. The major contribution of this study is that reporting frequency matters in the information incorporation process; the more frequent the financial reporting is the more firm information is reflected in stock prices.
Additional Information
Thesis (PhD) – Faculty of Business and Economics, Universiti Malaya, 2010.
Recommended Citation
Mohsen Shaiban, Mohammed Sharaf, "Corporate transparency, private information and stock price synchronicity." (2010). Student Works (2010-2019). 39.
https://knova.um.edu.my/student_works_2010s/39
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Included in
Econometrics Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons
Initial
khm