Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing?

By Artyom Durnev, Randall K. Morck, Bernard Yeung, Paul Zarowin. 2003

954 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b18ddba76dd3a75f158ca30e160ca5f9427d6caa

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Citations in the corpus

IFRS reporting, firm-specific information flows, and institutional environments: international evidence (2012, unknown): “Prior studies show that the enhanced flow of firm-specific information into the market increases firm-specific return variation, which in turn lowers stock price synchronicity (Durnev et al. 2003; Piotroski and Roulstone 2004; Fernandes and Ferreira 2008). We therefore use stock price synchronicity ”
Greener Pastures and the Impact of Dynamic Institutional Preferences (2003, background): “Second, Roll (1988) and Durnev et al. (2001) note that greater levels of informed trading will cause greater firm-specific volatility.”
The Impact of SFAS No. 131 Business Segment Data on the Market's Ability to Anticipate Future Earnings (2005, background): “23 Durnev et al. (2003) make the same point about including a control for growth in their FERC regression.”
Why Did Individual Stocks Become More Volatile (2003, methodology): “Given the di¢culty in verifying such a belief in face of the evidence in Roll (1988), Durnev et al (2000, 2001) turn to a …rm’s characteristics and performance over a longer horizon.”
Capitalization of R&D and the Informativeness of Stock Prices (2007, methodology): “(2002), Durnev et al. (2003), and Piotroski and Roulstone (2004). (9)There are a number of reasons why management may choose not to capitalize development”
Transparency, Price Informativeness, and Stock Return Synchronicity: Theory and Evidence (2010, background): “Therefore, we follow Roll (1988), Piotroski and Roulstone (2004), and Durnev et al. (2003), (2004) by adding industry returns in the standard market model regression.”
Property rights protection, corporate transparency, and growth (2009, unknown): “If accounting numbers reflect appropriate information in a timely manner, current stock returns should reflect more information about future earnings (Durnev et al. (2003), Lundholm and Myers, 2002)).”
R2 and Idiosyncratic Risk are not Interchangeable (2014, background): “Durnev et al. (2003), Ferreira and Laux (2007), and HMT ﬁnd results similar to Jin and Myers (2006) in the U.S. context.”