Chan, Kalok; Chan, Yue-Cheong - In: Journal of Financial Economics 114 (2014) 1, pp. 36-53
We investigate what stock return synchronicity reflects in terms of price informativeness by examining its effect on … relation between stock return synchronicity (estimated as the logit transformation of the R-squared statistic from a two … price is more informative when stock return synchronicity is higher and also that information asymmetry can be mitigated by …