Institutional investors, firm-specific information and the synchronicity of stock price variation: A R2-based perspective
The synchronicity of return variation means that stock prices move in the same direction together, which implies that firm-specific information is not fully capitalized into stock prices. This phenomenon not only does harm to the economic role of prices that serve as signals, but also weakens diversification effects of the risk of portfolio. Based on a panel data of Chinese listed firms during 2001-2005,this paper applies fitting coefficient of CAPM to measure the synchronicity, and empirically tests the relation between institutional investors and the synchronicity of stock price variation from mean effect and increment effect separately. The results show that the institutional investors help to increase the information content of stock prices and restrain the synchronicity greatly as a result which means that the rational degree of security market has been promoted and the effect of portfolio on minimizing risk has been strengthened.
institutional investors firm-specific information synchronicity R2
You Jiaxing
Department of Planning & Statistics,Xiamen University,China
国际会议
International Symposium on Financial Engineering and Risk Management(2008年金融工程与风险管理)
上海
英文
93-97
2008-06-01（万方平台首次上网日期，不代表论文的发表时间）