Does High Stock Return Synchronicity Indicate High or Low Price Informativeness

阚铄现为中国人民大学财政金融学院博士生，研究方向为实证公司金融，研究课题包括董事特征、分析师行为、动态资本结构等。于2015年和2016年分别前往香港理工大学和美国南加州大学进行学术访问。已在国内一流学术期刊《世界经济》、《管理世界》和《金融研究》发表论文五篇，并有多篇论文在International Review of Finance和《经济研究》等期刊接受审稿。

Abstract: We investigate the link between stock return synchronicity and price informativeness by exploiting the Regulation SHO pilot program, which removed short-selling price tests for randomly-selected stocks (“pilot stocks”) in May 2005, before removing such tests for all stocks in July 2007. A difference-in-differences analysis shows that relative to non-pilot stocks, pilot stocks saw a significantly larger increase in return synchronicity when the pilot program started, but such difference disappeared when Regulation SHO removed short-selling price tests for all stocks. The results suggest that high return synchronicity reflects high, rather than low, price informativeness.