Transparency, Price Informativeness, and Stock Return Synchronicity: Theory and Evidence
通过模型和实证发现，透明度提高反而可能增加股票收益同步性，因为更透明的环境下股价对未来事件的信息含量更高，导致事件发生时意外更少。
Abstract This paper argues that, contrary to the conventional wisdom, stock return synchronicity (or R 2 ) can increase when transparency improves. In a simple model, we show that, in more transparent environments, stock prices should be more informative about future events. Consequently, when the events actually happen in the future, there should be less “surprise” (i.e., less new information is impounded into the stock price). Thus a more informative stock price today means higher return synchronicity in the future. We find empirical support for our theoretical predictions in 3 settings: namely, firm age, seasoned equity offerings (SEOs), and listing of American Depositary Receipts (ADRs).