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

Dissertant

Bin Amir, Muawwad

Thesis advisor

Faruq, Umar

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

• Investments
• Stocks
• India

No. of Pages

24

Table of Contents

• APA
• MLA
• AMA

Language

English

Data Type

Arab Theses

Record ID

BIM-625232