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Stock price synchronicity and price informativeness : evidence from a regulatory change in the U.S. banking industry
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dc.contributor.author | Abedifar, Pejman | |
dc.contributor.author | Bouslah, Kais | |
dc.contributor.author | Zheng, Yeliangzi | |
dc.date.accessioned | 2021-08-11T23:41:15Z | |
dc.date.available | 2021-08-11T23:41:15Z | |
dc.date.issued | 2020-08-12 | |
dc.identifier | 270051695 | |
dc.identifier | b56c04c8-1afb-4003-b158-6345bc5dd6ee | |
dc.identifier | 85089917031 | |
dc.identifier | 000644694200012 | |
dc.identifier.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 | en |
dc.identifier.issn | 1544-6123 | |
dc.identifier.other | ORCID: /0000-0002-7648-7201/work/80257861 | |
dc.identifier.other | ORCID: /0000-0001-8407-8929/work/82179583 | |
dc.identifier.uri | https://hdl.handle.net/10023/23764 | |
dc.description.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. | |
dc.format.extent | 570238 | |
dc.language.iso | eng | |
dc.relation.ispartof | Finance Research Letters | en |
dc.subject | Bank opacity | en |
dc.subject | Financial regulation | en |
dc.subject | Price informativeness | en |
dc.subject | Stock return synchronicity | en |
dc.subject | HG Finance | en |
dc.subject | Finance | en |
dc.subject | NDAS | en |
dc.subject.lcc | HG | en |
dc.title | Stock price synchronicity and price informativeness : evidence from a regulatory change in the U.S. banking industry | en |
dc.type | Journal article | en |
dc.contributor.institution | University of St Andrews. School of Management | en |
dc.contributor.institution | University of St Andrews. Centre for Responsible Banking and Finance | en |
dc.contributor.institution | University of St Andrews. Centre for the Study of Philanthropy & Public Good | en |
dc.identifier.doi | 10.1016/j.frl.2020.101678 | |
dc.description.status | Peer reviewed | en |
dc.date.embargoedUntil | 2021-08-12 |
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