Information arrival, changes in R-square and pricing asymmetry of corporate news

Louis T.W. Cheng; T. Y. Leung; Wayne Yu

doi:10.1016/j.iref.2014.03.004

Information arrival, changes in R-square and pricing asymmetry of corporate news

Louis T.W. Cheng
, T. Y. Leung
, Wayne Yu

Hong Kong Metropolitan University

Research output: Contribution to journal › Article › peer-review

22 Citations (Scopus)

Abstract

Previous research on R-square has focused on the cross-sectional effects of the level of R-square and the results are mixed. We argue that changes in R-square can capture how new information is incorporated into stock prices. We examine the changes in R-square and stock price synchronicity upon compliance disclosures of earnings and regulatory reprimanding disclosures of "special treatment" status in China. Our results show that upon information arrival, R-square decreases because of the increase in firm-level information from the announcements, a result that is consistent with our hypothesis. Moreover, the market is more reactive in pricing bad rather than good news.

Original language	English
Pages (from-to)	67-81
Number of pages	15
Journal	International Review of Economics and Finance
Volume	33
DOIs	https://doi.org/10.1016/j.iref.2014.03.004
Publication status	Published - Sept 2014

Keywords

Earnings
Pricing efficiency
R-square
Reprimanding disclosure
Synchronicity

Access to Document

10.1016/j.iref.2014.03.004

Cite this

@article{f2494e1100e44cec9b991be568b5b886,

title = "Information arrival, changes in R-square and pricing asymmetry of corporate news",

abstract = "Previous research on R-square has focused on the cross-sectional effects of the level of R-square and the results are mixed. We argue that changes in R-square can capture how new information is incorporated into stock prices. We examine the changes in R-square and stock price synchronicity upon compliance disclosures of earnings and regulatory reprimanding disclosures of {"}special treatment{"} status in China. Our results show that upon information arrival, R-square decreases because of the increase in firm-level information from the announcements, a result that is consistent with our hypothesis. Moreover, the market is more reactive in pricing bad rather than good news.",

keywords = "Earnings, Pricing efficiency, R-square, Reprimanding disclosure, Synchronicity",

author = "Cheng, \{Louis T.W.\} and Leung, \{T. Y.\} and Wayne Yu",

note = "Funding Information: Louis Cheng and Wayne Yu acknowledge the financial support of a research grant ( G-U569 ) from the Hong Kong Polytechnic University . ",

year = "2014",

month = sep,

doi = "10.1016/j.iref.2014.03.004",

language = "English",

volume = "33",

pages = "67--81",

}

TY - JOUR

T1 - Information arrival, changes in R-square and pricing asymmetry of corporate news

AU - Cheng, Louis T.W.

AU - Leung, T. Y.

AU - Yu, Wayne

N1 - Funding Information: Louis Cheng and Wayne Yu acknowledge the financial support of a research grant ( G-U569 ) from the Hong Kong Polytechnic University .

PY - 2014/9

Y1 - 2014/9

N2 - Previous research on R-square has focused on the cross-sectional effects of the level of R-square and the results are mixed. We argue that changes in R-square can capture how new information is incorporated into stock prices. We examine the changes in R-square and stock price synchronicity upon compliance disclosures of earnings and regulatory reprimanding disclosures of "special treatment" status in China. Our results show that upon information arrival, R-square decreases because of the increase in firm-level information from the announcements, a result that is consistent with our hypothesis. Moreover, the market is more reactive in pricing bad rather than good news.

AB - Previous research on R-square has focused on the cross-sectional effects of the level of R-square and the results are mixed. We argue that changes in R-square can capture how new information is incorporated into stock prices. We examine the changes in R-square and stock price synchronicity upon compliance disclosures of earnings and regulatory reprimanding disclosures of "special treatment" status in China. Our results show that upon information arrival, R-square decreases because of the increase in firm-level information from the announcements, a result that is consistent with our hypothesis. Moreover, the market is more reactive in pricing bad rather than good news.

KW - Earnings

KW - Pricing efficiency

KW - R-square

KW - Reprimanding disclosure

KW - Synchronicity

UR - https://www.scopus.com/pages/publications/84898901193

U2 - 10.1016/j.iref.2014.03.004

DO - 10.1016/j.iref.2014.03.004

M3 - Article

AN - SCOPUS:84898901193

SN - 1059-0560

VL - 33

SP - 67

EP - 81

JO - International Review of Economics and Finance

JF - International Review of Economics and Finance

ER -

Information arrival, changes in R-square and pricing asymmetry of corporate news

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this