Illiquidity and the Measurement of Stock Price Synchronicity
研究发现股票非流动性会系统性低估基于市场模型R²的股价同步性指标，且现有修正方法无效；非线性控制非流动性后，可解释为何低R²公司信息环境差。
ABSTRACT This paper demonstrates that measures of stock price synchronicity based on market model R 2 s are predictably biased downward as a result of stock illiquidity, and that previously employed remedies to correct market model betas for measurement bias do not fix R 2 . Using a large international sample of firm‐years, we find strong negative and nonlinear relations between illiquidity and R 2 across countries, across firms, and over time. Because variables of interest frequently relate to illiquidity as well, we illustrate the consequences of not controlling for illiquidity in synchronicity research. More generally, we demonstrate the importance of using nonlinear control variable methods. Overall, we conclude that the illiquidity‐driven measurement bias in R 2 provides an explanation for why prior research finds low‐ R 2 firms to have weak information environments, and suggest future research carefully evaluate the sensitivity of its results to nonlinear controls for illiquidity.