Stock return synchronicity and the firm’s information environment : evidence from an emerging market

مقدم أطروحة جامعية

Bin Amir, Muawwad

مشرف أطروحة جامعية

Faruq, Umar

الجامعة

جامعة الأخوين

الكلية

كلية إدارة الأعمال

دولة الجامعة

المغرب

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2011

الملخص الإنجليزي

This paper brings new insights into the nature of the relationship between stock return synchronicity and the firm’s information environment by understanding the role of marginal investors in India during the period between 2006 and 2008.

Our results document a significantly positive relationship between stock return synchronicity and interesting stocks (our proxy for firms with better information environments) and a significantly negative relationship between stock return synchronicity and neglected stocks (our proxy for firms with relatively poor information environments).

We argue that it is the ability of stocks to generate interest from either diversified or undiversified investors, inherent to their information environment, which determines their level of return synchronicity and is one of the reasons for the previously mentioned results.

Supplemental tests revealed that stock return synchronicity is positively associated to the the performance of interesting stocks while it is also inversely related to the one of neglected stocks.

Together, the results suggest that depending on the type of marginal investors, the latter can infer valuable information about a potentially profitable investment strategy by just taking into consideration the firms’ information environments.

التخصصات الرئيسية

الاقتصاد و التجارة
العلوم المالية و المحاسبية

الموضوعات

• الاستثمارات
• الأسهم
• الهند

عدد الصفحات

24

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-625232