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首页> 外文期刊>Journal of financial economics >Price informativeness and stock return synchronicity: Evidence from the pricing of seasoned equity offerings
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Price informativeness and stock return synchronicity: Evidence from the pricing of seasoned equity offerings

机译：价格信息和股票回报同步性：来自经验丰富的股票发行定价的证据

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摘要

We investigate what stock return synchronicity reflects in terms of price informativeness by examining its effect on the pricing of seasoned equity offerings (SEOs). Based on 5,087 SEOs from 1984 to 2007, we find a significantly negative relation between stock return synchronicity (estimated as the logit transformation of the R-squared statistic from a two-factor regression) and SEO discounts (the percentage differences between pre-offer day closing prices and offer prices). The negative relation is strongest when there is no analyst coverage, and it declines as analyst coverage increases. This shows that stock price is more informative when stock return synchronicity is higher and also that information asymmetry can be mitigated by analyst coverage. We further decompose stock return synchronicity into the market comovement and industry comovement components and find that both components are equally important in affecting SEO discounts.
机译：我们通过检查股价对经验丰富的股票（SEO）定价的影响，研究了股价收益同步性在价格信息方面所反映的内容。基于1984年至2007年的5,087个SEO，我们发现股票收益同步性（通过两因素回归估计为R平方统计的对数变换）与SEO折扣（报价前日之间的百分比差异）之间存在显着负相关收盘价和报价）。没有分析师覆盖率时，负相关性最强，而随着分析师覆盖率的增加，负相关性会下降。这表明股票收益同步性较高时，股票价格更具参考价值，而且分析师的关注度可以减轻信息不对称性。我们进一步将股票收益的同步性分解为市场动向和行业动向两个组成部分，发现这两个组成部分在影响SEO折扣中同等重要。

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