Stock price synchronicity and price informativeness : evidence from a regulatory change in the U.S. banking industry
Date
12/08/2020Keywords
Metadata
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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.
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
Rights
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
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