Peer firms’ reporting frequency and stock price synchronicity: European evidence

Jesper Haga; Kenneth Högholm; Dennis Sundvik

doi:10.1016/j.intaccaudtax.2022.100505

Peer firms’ reporting frequency and stock price synchronicity: European evidence

Jesper Haga, Kenneth Högholm, Dennis Sundvik^*

^*Corresponding author for this work

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

4 Citations (Scopus)

Abstract

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.

Original language	English
Article number	100505
Peer-reviewed scientific journal	Journal of International Accounting, Auditing and Taxation
Volume	49
ISSN	1061-9518
DOIs	https://doi.org/10.1016/j.intaccaudtax.2022.100505
Publication status	Published - 11.11.2022
MoE publication type	A1 Journal article - refereed

Keywords

512 Business and Management
financial reporting frequency
positive externalities
stock price synchronicity

Areas of Strength and Areas of High Potential (AoS and AoHP)

AoS: Financial management, accounting, and governance

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10.1016/j.intaccaudtax.2022.100505Licence: CC BY

1-s2.0-S106195182200060X-mainFinal published version, 376 KBLicence: CC BY

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abstract = "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{\textquoteright}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.",

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AU - Högholm, Kenneth

AU - Sundvik, Dennis

N1 - Funding Information: We thank Robert K. Larson (Editor), anonymous reviewers, Mansoor Afzali, Gonul Colak, Fernando Distadio, Kim Ittonen, Eva Liljeblom, Stephen Taylor, Sue Wright, and seminar participants at University of Technology Sydney and Griffith University. Jesper Haga is grateful for financial support from the Society of Swedish Literature in Finland. Dennis Sundvik acknowledges the funding from Liikesivistysrahasto and OP Group Research foundation. All errors are our own. Publisher Copyright: © 2022 The Author(s)

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AB - 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.

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KW - financial reporting frequency

KW - positive externalities

KW - stock price synchronicity

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Peer firms’ reporting frequency and stock price synchronicity: European evidence

Abstract

Keywords

Areas of Strength and Areas of High Potential (AoS and AoHP)

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Peer firms’ reporting frequency and stock price synchronicity: European evidence

Abstract

Keywords

Areas of Strength and Areas of High Potential (AoS and AoHP)

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Griffith University Research Presentation

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