Publication
The use of the R2 as a measure of firm-specific information: a cross-country critique
| dc.contributor.author | Alves, Paulo | |
| dc.contributor.author | Peasnell, Ken | |
| dc.contributor.author | Taylor, Paul | |
| dc.date.accessioned | 2014-06-12T16:21:07Z | |
| dc.date.available | 2014-06-12T16:21:07Z | |
| dc.date.issued | 2010 | |
| dc.description.abstract | Recent research uses the degree of stock returns co-movement as a measure of the quality of a country’s information environment. It has been argued that stronger property rights, better corporate governance regimes and more efficient enforcement mechanisms lead to prices incorporating more firm-specific information and, therefore, co-moving less with the market. In this paper, we use a much more comprehensive international data set than in prior research, encompassing forty countries over twenty years, to evaluate the reliability of this approach in a cross-country setting and to analyse the behaviour of the measure used. Our results demonstrate severe limitations in the use of co-movement as a measure of information quality. We highlight the instability of the measure and show that it can produce results that are often difficult to reconcile with such an informational explanation. | por |
| dc.identifier.citation | ALVES, P. ; PEASNELL, Ken ; TAYLOR, Paul - The Use of the R2 as a Measure of Firm-Specific Information: A Cross-Country Critique. Journal of Business Finance & Accounting. ISSN 0306-686X. Vol. 37, N.º 1-2 (2010), p. 1-26 | por |
| dc.identifier.doi | 10.1111/j.1468-5957.2009.02181.x | |
| dc.identifier.issn | 0306-686X | |
| dc.identifier.uri | http://hdl.handle.net/10400.14/14617 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.publisher | Wiley | |
| dc.subject | Information | por |
| dc.subject | R2 | por |
| dc.subject | Firm-specific Information | por |
| dc.subject | Market-wide Information | por |
| dc.subject | Volatility | por |
| dc.subject | Disclosures | por |
| dc.subject | Co-Movement | por |
| dc.subject | Cross-country Information Environment | por |
| dc.subject | Synchronicity | por |
| dc.title | The use of the R2 as a measure of firm-specific information: a cross-country critique | por |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 26 | |
| oaire.citation.issue | 1-2 | |
| oaire.citation.startPage | 1 | |
| oaire.citation.title | Journal of Business Finance and Accounting | |
| oaire.citation.volume | 37 | |
| person.familyName | Alves | |
| person.givenName | Paulo | |
| person.identifier.ciencia-id | 1216-FE56-6E85 | |
| person.identifier.orcid | 0000-0002-6348-3316 | |
| rcaap.rights | restrictedAccess | por |
| rcaap.type | article | por |
| relation.isAuthorOfPublication | 09ae1927-4272-4ccb-87bf-9a49061799f3 | |
| relation.isAuthorOfPublication.latestForDiscovery | 09ae1927-4272-4ccb-87bf-9a49061799f3 |
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