Alves, PauloPeasnell, KenTaylor, Paul2014-06-122014-06-122010ALVES, 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. 1-260306-686Xhttp://hdl.handle.net/10400.14/14617Recent 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.engInformationR2Firm-specific InformationMarket-wide InformationVolatilityDisclosuresCo-MovementCross-country Information EnvironmentSynchronicityjournal article10.1111/j.1468-5957.2009.02181.x