주가 동시성과 가격 정보성의 관계에 관한 연구

초록

This study empirically investigates the relationship between stock price synchronicity and price informativeness. The purpose of this paper is to find out whether low stock price synchronicity improves price informativeness or not and why this occurs. We analyze whether high or low stock price synchronicity contains information on future earnings and examine how stock price synchronicity affects on future performance. Main findings are summarized as follows. First, the higher the current stock price synchronicity, the higher the price informativeness. Second, the higher the current stock price synchronicity, the higher the future firm’s performance. Third, the information environment accounts for the improvement of price informativeness by stock price synchronicity. Fourth, as Li et al(2014) have suggested, we show that we should consider how the components of R2 relate with information environment when we use the stock price synchronicity(R2) as the proxy variable for firm-specific return variations. In conclusion, we show the empirical evidence that we have to concern about using low stock price synchronicity as the proxy of high price informativeness.

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