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 journalArticlepeer-review

1 Citation (Scopus)
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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.

Original languageEnglish
Article number101678
JournalFinance Research Letters
VolumeIn press
Early online date12 Aug 2020
DOIs
Publication statusE-pub ahead of print - 12 Aug 2020

Keywords

  • Bank opacity
  • Financial regulation
  • Price informativeness
  • Stock return synchronicity

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