Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/33333
Title: Information arrival, changes in R-square and pricing asymmetry of corporate news
Authors: Cheng, LTW 
Leung, TY
Yu, W
Keywords: Earnings
Pricing efficiency
R-square
Reprimanding disclosure
Synchronicity
Issue Date: 2014
Publisher: Elsevier Inc.
Source: International review of economics and finance, 2014, v. 33, p. 67-81 How to cite?
Journal: International Review of Economics and Finance 
Abstract: Previous research on R-square has focused on the cross-sectional effects of the level of R-square and the results are mixed. We argue that changes in R-square can capture how new information is incorporated into stock prices. We examine the changes in R-square and stock price synchronicity upon compliance disclosures of earnings and regulatory reprimanding disclosures of "special treatment" status in China. Our results show that upon information arrival, R-square decreases because of the increase in firm-level information from the announcements, a result that is consistent with our hypothesis. Moreover, the market is more reactive in pricing bad rather than good news.
URI: http://hdl.handle.net/10397/33333
ISSN: 1059-0560
DOI: 10.1016/j.iref.2014.03.004
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