Stock return synchronicity and the firm’s information environment : evidence from an emerging market
Dissertant
Thesis advisor
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2011
English Abstract
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.
Main Subjects
Economy and Commerce
Financial and Accounting Sciences
Topics
No. of Pages
24
Table of Contents
Table of contents.
Abstract.
Chapter One : Introduction.
Chapter Two : Literature review.
Chapter Three : Data.
Chapter Four : Methodology.
Chapter Five : Results.
Chapter Six : Conclusion.
References.
American Psychological Association (APA)
Bin Amir, Muawwad. (2011). Stock return synchronicity and the firm’s information environment : evidence from an emerging market. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-625232
Modern Language Association (MLA)
Bin Amir, Muawwad. Stock return synchronicity and the firm’s information environment : evidence from an emerging market. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2011).
https://search.emarefa.net/detail/BIM-625232
American Medical Association (AMA)
Bin Amir, Muawwad. (2011). Stock return synchronicity and the firm’s information environment : evidence from an emerging market. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-625232
Language
English
Data Type
Arab Theses
Record ID
BIM-625232