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

Pejman Abedifar; Kais Bouslah; Yeliangzi Zheng

doi:10.1016/j.frl.2020.101678

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

Pejman Abedifar^*, Kais Bouslah^*, Yeliangzi Zheng^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Article number	101678
Journal	Finance Research Letters
Volume	In press
Early online date	12 Aug 2020
DOIs	https://doi.org/10.1016/j.frl.2020.101678
Publication status	E-pub ahead of print - 12 Aug 2020

Keywords

Bank opacity
Financial regulation
Price informativeness
Stock return synchronicity

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10.1016/j.frl.2020.101678

Abedifar_2020_FRL_Stockprice_AAM
Copyright © 2020 Elsevier Inc. All rights reserved. This work has been made available online in accordance with publisher policies or with permission. Permission for further reuse of this content should be sought from the publisher or the rights holder. This is the author created accepted manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at https://doi.org/10.1016/j.frl.2020.101678
Accepted author manuscript, 557 KBLicence: CC BY-NC-ND

Cite this

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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.",

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

Abstract

Keywords

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