Does Stock Price Synchronicity Reflect Information or Noise? The International Evidence

H. A. Skaife; Joachim Gassen; R. Lafond

DOI:10.2139/ssrn.686908

Corpus ID: 221222963

Does Stock Price Synchronicity Reflect Information or Noise? The International Evidence

@inproceedings{Skaife2005DoesSP,
  title={Does Stock Price Synchronicity Reflect Information or Noise? The International Evidence},
  author={H. A. Skaife and Joachim Gassen and R. Lafond},
  year={2005}
}

H. A. Skaife, Joachim Gassen, R. Lafond

Published 2005

Economics

Prior research asserts that stock price synchronicity, defined as the R2 from asset pricing regressions, is a useful measure of the relative amount of firm-specific information reflected in stock prices. This paper investigates the validity of the information-based interpretation of stock price synchronicity in international markets. The results of our analyses provide little support for using stock price synchronicity as a measure of firm-specific information internationally. We develop an… CONTINUE READING

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