Stock Exchanges Regulation and Stock Price Synchronicity——Evidence Based on Annual Report Comment Letters

Abstract

Abstract: This study investigates the impact of annual report comment letters on stock price synchronicity based on the data of Chinese A-share listed companies from 2015 to 2018. This study shows that annual report comment letters decreases stock price synchronicity significantly. Further analyses suggest that institutional investor’s ownership and product market competition reduce the impact of annual report comment letters on stock price synchronicity. Moreover, we find the reduction effect of annual report comment letters on stock price synchronicity is more strong when annual report comment letters contain more questions and need to be verified by the intermediary. At last, we find information asymmetry is the mechanism through which annual report comment letters reduce stock price synchronicity. Our findings enrich the research about annual report comment letters’ economic consequences and also have implications for regulators to make decisions.

Key words: annual report comment letters, stock price synchronicity, information asymmetry

Yuan Rongli, Wang Qun, Li Ruijing. Stock Exchanges Regulation and Stock Price Synchronicity——Evidence Based on Annual Report Comment Letters[J]. Management Review, 2022, 34(2): 281-290,352.

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