| Budget Amount *help |
¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000)
Fiscal Year 2015: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2014: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
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| Outline of Final Research Achievements |
A controversial issue in stock price synchronicity research is whether a lower R-squared reflects a stock price with more information or a noisier stock price. To better understand the properties of R-squared, I focus on the situation in which the information environment drastically deteriorates and examine which view represents a more plausible explanation for R-squared. Using data around an exogenous catastrophic event, namely, the GEJE, on March 11, 2011, I find that, after the event, stock price synchronicity for opaque firms was higher than for transparent firms. The stock prices of opaque firms were not likely to capitalize firm-specific information after the GEJE, which led their R-squared values to increase compared with those of transparent firms. The evidence is more consistent with the hypothesis that a higher R-squared signals that the stock price is deviating from its fundamental value; that is, a lower R-squared reflects a more informative stock price.
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