Information arrival, changes in R-square and pricing asymmetry of corporate news

Tsz Wan Cheng; T. Y. Leung; Wayne Yu

doi:10.1016/j.iref.2014.03.004

Information arrival, changes in R-square and pricing asymmetry of corporate news

Tsz Wan Cheng, T. Y. Leung, Wayne Yu

Research output: Journal article publication › Journal article › Academic research › peer-review

18 Citations (Scopus)

Abstract

Previous research on R-square has focused on the cross-sectional effects of the level of R-square and the results are mixed. We argue that changes in R-square can capture how new information is incorporated into stock prices. 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. Our results show that upon information arrival, R-square decreases because of the increase in firm-level information from the announcements, a result that is consistent with our hypothesis. Moreover, the market is more reactive in pricing bad rather than good news.

Original language	English
Pages (from-to)	67-81
Number of pages	15
Journal	International Review of Economics and Finance
Volume	33
DOIs	https://doi.org/10.1016/j.iref.2014.03.004
Publication status	Published - 1 Jan 2014

Keywords

Earnings
Pricing efficiency
R-square
Reprimanding disclosure
Synchronicity

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.iref.2014.03.004

Cite this

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abstract = "Previous research on R-square has focused on the cross-sectional effects of the level of R-square and the results are mixed. We argue that changes in R-square can capture how new information is incorporated into stock prices. 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. Our results show that upon information arrival, R-square decreases because of the increase in firm-level information from the announcements, a result that is consistent with our hypothesis. Moreover, the market is more reactive in pricing bad rather than good news.",

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ER -

Information arrival, changes in R-square and pricing asymmetry of corporate news

Abstract

Keywords

ASJC Scopus subject areas

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