Information Arrival, Changes in R-square and Pricing Asymmetry of Corporate News
Research output: Conference Papers (RGC: 31A, 31B, 32, 33) › 33_Other conference paper
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
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| Publication status | Published - 13 Jun 2011 |
Conference
| Title | 9th INFINITI Conference on International Finance |
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| Location | Trinity College Dublin |
| Place | Finland |
| City | Dublin |
| Period | 13 - 14 June 2011 |
Link(s)
| Permanent Link | https://scholars.cityu.edu.hk/en/publications/publication(7bcd2d18-a928-45e5-908c-3a4767980980).html |
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Abstract
Past research on R-square focuses on the cross-sectional effects of Rsquare at level and the results are mixed. We argue that R-square change instead of R-square level can better capture how information is incorporated in stock prices. Based on Morck, Yeung and Yu (2000), we conjecture that, upon information arrival, R-square should decrease due to the increase of firm-level information from the announcements. We examine the changes in R-square and stock price synchronicity upon compliance disclosures of earnings and regulatory reprimanding disclosures of “Special Treatment” status in China. Employing various models to classify significantly positive and negative corporate announcements, the findings are consistent with our hypothesis. Moreover, the market is more reactive in pricing bad news than good news.
Research Area(s)
- R-square, Synchronicity, Earnings, Pricing efficiency
Citation Format(s)
Information Arrival, Changes in R-square and Pricing Asymmetry of Corporate News. / Cheng, Louis T W; Leung, Yan; Yu, Wayne.
2011. 9th INFINITI Conference on International Finance, Dublin, Finland.Research output: Conference Papers (RGC: 31A, 31B, 32, 33) › 33_Other conference paper
