Peer firms’ reporting frequency and stock price synchronicity: European evidence
研究了同行企业从半年报改为季报时，股价中公司特有信息含量的变化，发现同行季报集中度越高，股价同步性越低，且这种效应在半年报企业、盈余不透明和机构持股低的企业中更强。
This study investigates whether and how the amount of firm-specific information incorporated into stock prices changes when there is more quarterly, rather than semi-annual, reporting in the peer group. Using a sample of 33,338 European firm-year observations from 2004 to 2017, we find a significantly negative relationship between stock price synchronicity and concentration of quarterly reporting among a firm’s peers. We argue that more public peer disclosure stimulates acquisition of private firm-specific information. Additional tests show that the negative relationship is strongest among firms with semi-annual reporting, opaque earnings, and low institutional ownership. We further decompose the synchronicity measure into market and industry co-movement and find that the former is decreasing while the latter is increasing with more frequent peer reporting.