Can microblogging information disclosure reduce stock price synchronicity? Evidence from China

2018 ◽  
Vol 44 (2) ◽  
pp. 282-305 ◽  
Author(s):  
Donghua Zhou ◽  
Yujie Zhao ◽  
Philip T Lin ◽  
Bin Li ◽  
Adrian (Waikong) Cheung
Keyword(s):  
Stock Prices ◽  
Information Disclosure ◽  
Stock Price ◽  
Negative Relationship ◽  
Jel Classification ◽  
Specific Information ◽  
Chinese Stock Market ◽  
Stock Price Synchronicity ◽  
Alternative Measures ◽  
The Impact

We study the relationship between stock price synchronicity and information disclosure of firms listed in the Chinese stock market, using hand-collected data on firms’ official microblogging content in Sina Weibo, a popular microblogging service in China. We find that after controlling for the impact of traditional media, the number of Weibo tweets is related negatively to stock price synchronicity, indicating that stock prices incorporate firm-specific information disclosed in the firm’s official Weibo. Number of microblogging fans can strengthen this negative relationship. Our result is robust to alternative measures of stock price synchronicity, microblogging information disclosure, and to endogeneity issues. JEL Classification: G14, G15

scholarly journals Informational Consequences of Mandatory IFRS Adoption in China

2018 ◽  
Vol 8 (3) ◽  
pp. 295
Author(s):  
Archana Patro
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Demand Elasticity ◽  
Future Price ◽  
Multivariate Techniques ◽  
Specific Information ◽  
Stock Price Synchronicity ◽  
Ifrs Adoption ◽  
Mandatory Adoption ◽  
The Impact

In China, International Financial Reporting Standards (IFRS) have become mandatory for listed firms in 2007. While earlier research on “voluntary” adopters has provided valuable insights on the impact of IFRS disclosure, these results cannot be generalised in a mandatory setting. We expect effects from mandatory IFRS adoption to be different from those documented for voluntary IFRS adopters since the former group is essentially forced to adopt IFRS. The empirical model, relating to stock price synchronicity with adoption of IFRS, and other firm-specific control variables were analysed using both univariate and multivariate techniques. Different types of panel data estimates were used and compared so as to interpret the results with the best-suited parameters for different data sets for different markets. Studying data covering the period from 2001-2013, the present study examines whether mandatory adoption of IFRS reduces Stock Price Synchronicity for Chinese firms. The empirical results show that IFRS adoption improves information environment by the capitalization of firm-specific information into stock prices, thereby reduces the Stock Price synchronicity. The paper further examines if the information impact was homogeneous across industries. This pattern of decrease in stock price synchronicity after adoption of IFRS is different for different industries taken for analysis. Aerospace & Defense, Automobiles Beverages, Metals & Mining, Retailer& Real Estate Operations have reduced synchronicity but other industries such as Biotech, Electric utilities, Electronic, Leisure products, Renewable energy and Telecom have increased synchronicity. For these industries, the low reliance on market wide information makes reasonable economic sense because they have relatively low demand elasticity. Hence, in demand inelastic industries, future price sensitive factors remain constant and so a changed IFRS accounting regime has little marginal impact. This study provides a different methodological approach by concentrating on Industry wide information effects from the mandatory adoption. These findings have important implications that apply not only to China, but also to other emerging and transitional economies such as India where IFRS is yet to be mandated. Moreover it will help regulators, academicians and practitioners to assess the informational benefit of adopting IFRS.

Analysts' Information Acquisition and Stock Price Synchronicity: A Regulatory Perspective from China

2018 ◽  
Vol 33 (1) ◽  
pp. 153-179 ◽  
Author(s):  
Haiyan Jiang ◽  
Donghua Zhou ◽  
Joseph H. Zhang
Keyword(s):  
Insider Trading ◽  
Private Information ◽  
Stock Prices ◽  
Information Acquisition ◽  
Stock Price ◽  
Specific Information ◽  
Stock Price Synchronicity ◽  
Playing Field ◽  
Information Advantage ◽  
Private Information Acquisition

SYNOPSIS Against the backdrop of the Chinese Directive 40 (China's Reg FD) issued in 2007 as an attempt to curb insider trading and to level the information playing field, this study investigates whether analysts' private information acquisition influences the extent to which firm-specific information is impounded into stock prices, i.e., stock price synchronicity, and how the restrictions on selective disclosures imposed by Directive 40 have shaped the relationship between analyst information acquisition and synchronicity. Using a pre-Directive 40 sample, we show that synchronicity is negatively related to analysts' private information acquisition, which provides support for the “information advantage” argument of analysts' information production. However, the ability of analysts' private information acquisition in improving firm-specific information incorporated into stock price is mitigated post-Directive 40 due to a restriction on selective disclosures and/or private communication. Moreover, we find that this regulatory impact varies for firms being followed by affiliated analysts versus non-affiliated analysts. JEL Classifications: G14; G15; G17; G18.

scholarly journals Financial Markets’ Governance, Transparency and Informational Efficiency: Role of IfRS Norms, Auditors and Financial Analysts

2016 ◽  
Vol 9 (5) ◽  
pp. 100
Author(s):  
Imen Lamiri ◽  
Adel Boubaker
Keyword(s):  
Financial Markets ◽  
Stock Prices ◽  
Stock Price ◽  
Financial Analysts ◽  
Negative Relationship ◽  
Developed Countries ◽  
Coefficient Of Determination ◽  
Specific Information ◽  
Informational Efficiency

<p>This article explores the informational role of three essential modern financial markets actors such IFRS norms, the Big”4” and the financial analysts for a panel of emergent and developed countries during the period from 2001 to 2010. We hypothesis that these mechanisms help improving the quality of specific information incorporated into stock prices measured by the stock price synchronicity (SPS). The main result is that both financial analyst’s coverage and IFRS adoption's effects seem to be stronger for emerging than developed markets. The results also show a negative relationship between auditors’ opinion and coefficient of determination (R<sup>2</sup>).</p>

scholarly journals Causal Relation Between Stock Market Performance and Firm Investment in China: Mediating Role of Information Asymmetry

SAGE Open ◽  
2019 ◽  
Vol 9 (4) ◽  
pp. 215824401988514
Author(s):  
Ghulam Hussain Khan Zaigham ◽  
Xiangning Wang ◽  
Haji Suleman Ali
Keyword(s):  
Information Asymmetry ◽  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Causal Relation ◽  
Negative Relationship ◽  
Manufacturing Firms ◽  
Price Performance ◽  
Stock Market Performance ◽  
The Impact

The main objectives of this study are to examine the impact of stock price performance on firm’s investment and to investigate the counter impact of changes in investment expenditures on stock price performance. The random effects model was applied on the panel data of Chinese manufacturing firms listed at the Shanghai Stock Exchange and the Shenzhen Stock Exchange during the period 2002 to 2016. The sample contains 398 firms with 5,970 observations. Although there is a statistically significant and negative relationship between stock price and investment expenditures, the impact of stock price on investment expenditures is far greater than that of investment expenditures on stock price. Information asymmetry positively mediates both investment sensitivity to stock prices and stock prices sensitivity to investment. This study is a valuable contribution toward the analysis of investment decision making by manufacturing firms in China. It also provides guidelines for investors to assess the informational status of the capital market before making investment decisions and to comprehensively understand the different decisions made by firms with regard to the issue of new stocks and the indirect information attached with such issues.

Analysis of Institutional Factors Affecting Share Prices: The Case of National Stock Exchange

2018 ◽  
Vol 19 (3) ◽  
pp. 707-721 ◽  
Author(s):  
Neeraj Nautiyal ◽  
P. C. Kavidayal
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Transition Period ◽  
Stock Exchange ◽  
Market Price ◽  
Negative Relationship ◽  
Value Added ◽  
Price Variation ◽  
Wide Range ◽  
The Impact

This study offers empirical findings on the impact of institutional variables on firm’s stock market price performance. In order to identify the influence of companies financial on NIFTY 50 Index, our sample consists of balanced panel of 30 actively traded companies (that becomes the study’s index representative) over a massive transition period, 1995–2014. Attempts have been made with a wide range of econometric models and estimators, from the relatively straightforward to (static) more complex (dynamic panel analyses) to deal with the relevant econometric issues. Results indicate that increasing debt in capital structure does not establish any significant relation with the stock prices. Earnings per share (EPS) shows a poor explanation of price variation. Economic value added (EVA) indicates a positive relation with current as well as previous year’s stock price performances. However, dividend payout (DIVP) and dividend per share (DPS) achieve negative relationship at moderately significant level. The present study confirms that performance of companies fundamental ratios will be essential and immensely helpful to investors and analysts in assessing the better stocks that belong to different industry groups.

Aggressive tax planning and stock price synchronicity: evidence from China

2019 ◽  
Vol 15 (5) ◽  
pp. 829-857 ◽  
Author(s):  
Hua Feng ◽  
Ahsan Habib ◽  
Gao liang Tian
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Tax Planning ◽  
Specific Information ◽  
Price Informativeness ◽  
Firm Level ◽  
Stock Price Synchronicity ◽  
Content Type ◽  
Tax Aggressiveness ◽  
Practical Implications

Purpose The purpose of this paper is to investigate the association between aggressive tax planning and stock price synchronicity. Design/methodology/approach Employing the special institutional background of China, this study constructs tax aggressiveness and stock price synchronicity measures for a large sample of Chinese stocks spanning the period 2003–2015. The authors employ OLS regression as the baseline methodology, and a fixed effect model, the Fama–Macbeth method and GMM as sensitivity checks. Matched samples and difference-in-difference analyses are used to control for endogeneity. Findings The authors find a significant and positive association between aggressive tax planning and stock price synchronicity. Because material information about risky tax transactions tends to be hidden in various tax accruals accounts, aggressive tax strategies make financial statements less transparent, thereby, increasing information asymmetry and decreasing stock price informativeness. The authors also find that the firms engaging in aggressive tax planning exhibit relatively high corporate opacity. In addition, the authors find that improvements in the tax enforcement regime, ownership status and high-quality auditors all constrain the adverse effects of tax aggressiveness. Practical implications This study has important practical implications for China’s regulators, who are striving to reduce the tax burden of enterprises. It also helps investors to consider investment decisions more appropriately from a taxation perspective. Originality/value First, this paper contributes to the stock price efficiency literature by identifying the effect of a hitherto unexamined factor, namely, firm-level aggressive tax planning, on the efficiency of stock prices. Second, this study provides further empirical evidence to support the agency view of tax aggressiveness, and the informational interpretation of stock price synchronicity. Third, this study helps us better understand the effects of firm-level tax policy on firm-specific information capitalization in an environment where overall country-level investor protection is relatively weak.

scholarly journals Financial Literacy and Stock Price Informativeness: a Cross-Country Study

2018 ◽  
Vol 63 (1) ◽  
pp. 63-72
Author(s):  
Anita Todea
Keyword(s):  
Private Information ◽  
Stock Prices ◽  
Financial Literacy ◽  
Stock Price ◽  
Individual Investors ◽  
Specific Information ◽  
Price Informativeness ◽  
Stock Price Informativeness ◽  
The Individual ◽  
The Impact

Abstract This paper examines the impact of financial literacy on stock price informativeness in a sample of firms from 20 countries. Using four measures of stock price informativeness, we find a significant relationship between higher financial literacy and higher stock price informativeness. The individual investors’ contribution regarding the incorporation of specific information into stock prices includes private information also and not mere specific information in the general sense. Financial knowledge is the key element that helps individual investors to incorporate specific information into stock prices.

The Effect of Trade Secrets Law on Stock Price Synchronicity: Evidence from the Inevitable Disclosure Doctrine

2020 ◽  
pp. 0000-0000 ◽  
Author(s):  
Yongtae Kim ◽  
Lixin (Nancy) Su ◽  
Zheng Wang ◽  
Haibin Wu
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
State Courts ◽  
Specific Information ◽  
Cost Of Equity ◽  
Stock Price Synchronicity ◽  
Corporate Managers ◽  
Proprietary Information ◽  
Proprietary Cost ◽  
Trade Secret Protection

We exploit the staggered recognition of the Inevitable Disclosure Doctrine (IDD) by US state courts to examine the effect of trade-secret protection on the amount of firm-specific information incorporated in stock prices, as reflected in stock price synchronicity. We find that after certain state courts recognize the IDD, firms headquartered in those states exhibit a significant increase in stock price synchronicity relative to firms in other states. We also find a significant decrease in the disclosure of proprietary information in the firms' 10-K reports. These results suggest that IDD recognition increases the proprietary cost of disclosure, and, in response, corporate managers withhold more information. In addition, we find that the increase in stock price synchronicity and the decrease in the disclosure of proprietary information lead to increases in the firm's market share, cost of equity, and market-to-book ratio, suggesting that managers sacrifice capital market benefits for product market gains.

scholarly journals The Impact of Disclosure Sentiment on the Share Prices of Russian Companies

2021 ◽  
Vol 15 (2) ◽  
pp. 5-15
Author(s):  
Maksim Kopyrin ◽  
Iuliia Naidenova
Keyword(s):  
Stock Prices ◽  
Information Disclosure ◽  
Stock Price ◽  
Positive Impact ◽  
News Item ◽  
Marginal Effect ◽  
Share Prices ◽  
Stock Price Reaction ◽  
Tone Level ◽  
The Impact

Information about companies published in a news feed is invariably tinted by emotional tonality. As such, resultingperceptions may influence the opinion of market players, and consequently affect the dynamics of a company’s shareprice. This study aims to evaluate various hypotheses about the impact of the tone of news items regarding dividends,capital expenditures, and development on the stock prices of Russian companies. Information disclosure is extensivelystudied, and there have been limited studies on the effect of disclosures on Russian companies. However, until now, therehave been no research studies which verify hypotheses on the influence of news sentiment on corporate share prices inthe Russian market. This analysis was conducted using data from 49 Russian public companies included in the Moscow exchange indexover the period from the end of 2017 to the beginning of 2019. To account for the proximate impact of news items onconsequential market phenomena, an event study methodology was applied in order to estimate and construct themodels of dependency of cumulative abnormal return (CAR) on news tone level, and control for financial and nonfinancialfactors. Our results provide evidence for the positive impact of the tone of news texts on the share prices of Russian companies.The increase in news tone by one standard deviation leads to a cumulative abnormal stock return increase of 0.26percentage points. This result is consistent with previous research conducted on data from developed stock markets.Moreover, the relationship between the tone or sentiment level of a news item and the stock price reaction is linear,without the diminishing marginal effect. Our conclusions should prompt companies to invest effort in delivering information in a tonally positive way,highlighting the most positive news. Investors, in turn, should rationally approach the interpretation of publishedinformation.

Impact of Dividend Policy on Variation of Stock Prices: Empirical Study of Vietnam

2019 ◽  
pp. 96-106 ◽  
Author(s):  
Dang Ngoc Hung ◽  
Binh Minh Tran ◽  
Dung Tran Manh
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Negative Relationship ◽  
Ordinary Least Squares ◽  
Price Variation ◽  
Listed Firms ◽  
Economic Decisions ◽  
The Impact

This research is conducted to investigate the impact levels of dividend policy on stock prices variation in the case of the stock exchange of an emerging country − Vietnam. Data were collected from 248 listed firms on the Vietnamese stock market for the period from 2014 to 2017. By employing ordinary least squares (OLS) and quantile regression (QR), we found that there is a negative relationship between dividend policy and variation of stock prices. Some variables including income variation, long term liabilities and growth have positive relationships with stock price variation whereas firm size has no impact on it. We also found that firms using low dividend yields influence stock prices variation in a clearer way. The results of this study are important for management in emerging countries, and in this case Vietnam, to have a proper dividend policy because dividend policy is crucial information for stakeholders to make economic decisions.

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