Stock price synchronicity and price informativeness : evidence from a regulatory change in the U.S. banking industry
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.
Citation
Abedifar , P , Bouslah , K & Zheng , Y 2020 , ' Stock price synchronicity and price informativeness : evidence from a regulatory change in the U.S. banking industry ' , Finance Research Letters , vol. In press , 101678 . https://doi.org/10.1016/j.frl.2020.101678
Publication
Finance Research Letters
Status
Peer reviewed
ISSN
1544-6123Type
Journal article
Collections
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