Firm Opacity and the Clustering of Stock Prices: the Case of Financial Intermediaries
Abstract In this study, we develop and test the hypothesis that because of opacity, the stock prices of financial firms will cluster on round fractions more than the stock prices of non-financial firms. Indeed, we find that the stock prices of opaque financial firms round on nickels and quarters mor...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Baig, Ahmed [verfasserIn] Blau, Benjamin M. [verfasserIn] Griffith, Todd G. [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2020 |
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| Schlagwörter: |
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| Anmerkung: |
© Springer Science+Business Media, LLC, part of Springer Nature 2020 |
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| Übergeordnetes Werk: |
Enthalten in: Journal of financial services research - New York,NY : Springer Science + Business Media B.V., 1987, 60(2020), 2-3 vom: 15. Aug., Seite 187-206 |
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| Übergeordnetes Werk: |
volume:60 ; year:2020 ; number:2-3 ; day:15 ; month:08 ; pages:187-206 |
| Links: |
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| DOI / URN: |
10.1007/s10693-020-00341-w |
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SPR045458081 |
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| 520 | |a Abstract In this study, we develop and test the hypothesis that because of opacity, the stock prices of financial firms will cluster on round fractions more than the stock prices of non-financial firms. Indeed, we find that the stock prices of opaque financial firms round on nickels and quarters more than the stock prices of less opaque non-financial firms. These results are robust to a battery of robustness tests that include measuring clustering at different frequencies, different econometric specifications, and different matched sample techniques. To draw stronger causal inferences, we use the passing of the Sarbanes-Oxley (SOX) Act as an exogenous shock to the level of transparency in the financial services sector. We find that price clustering decreases more for financial firms than for non-financial firms during the post-SOX regulation period. We also show that, relative to less opaque financial firms, those financial firms that are more opaque experienced the greatest decline in price clustering during the post-SOX period. | ||
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| 700 | 1 | |a Griffith, Todd G. |e verfasserin |4 aut | |
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10.1007/s10693-020-00341-w doi (DE-627)SPR045458081 (SPR)s10693-020-00341-w-e DE-627 ger DE-627 rakwb eng 330 ASE 83.00 bkl Baig, Ahmed verfasserin aut Firm Opacity and the Clustering of Stock Prices: the Case of Financial Intermediaries 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2020 Abstract In this study, we develop and test the hypothesis that because of opacity, the stock prices of financial firms will cluster on round fractions more than the stock prices of non-financial firms. Indeed, we find that the stock prices of opaque financial firms round on nickels and quarters more than the stock prices of less opaque non-financial firms. These results are robust to a battery of robustness tests that include measuring clustering at different frequencies, different econometric specifications, and different matched sample techniques. To draw stronger causal inferences, we use the passing of the Sarbanes-Oxley (SOX) Act as an exogenous shock to the level of transparency in the financial services sector. We find that price clustering decreases more for financial firms than for non-financial firms during the post-SOX regulation period. We also show that, relative to less opaque financial firms, those financial firms that are more opaque experienced the greatest decline in price clustering during the post-SOX period. Price clustering (dpeaa)DE-He213 Financial intermediaries (dpeaa)DE-He213 Opacity (dpeaa)DE-He213 Market efficiency (dpeaa)DE-He213 Blau, Benjamin M. verfasserin aut Griffith, Todd G. verfasserin aut Enthalten in Journal of financial services research New York,NY : Springer Science + Business Media B.V., 1987 60(2020), 2-3 vom: 15. Aug., Seite 187-206 (DE-627)32057458X (DE-600)2016889-5 1573-0735 nnns volume:60 year:2020 number:2-3 day:15 month:08 pages:187-206 https://dx.doi.org/10.1007/s10693-020-00341-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_184 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 83.00 ASE AR 60 2020 2-3 15 08 187-206 |
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10.1007/s10693-020-00341-w doi (DE-627)SPR045458081 (SPR)s10693-020-00341-w-e DE-627 ger DE-627 rakwb eng 330 ASE 83.00 bkl Baig, Ahmed verfasserin aut Firm Opacity and the Clustering of Stock Prices: the Case of Financial Intermediaries 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2020 Abstract In this study, we develop and test the hypothesis that because of opacity, the stock prices of financial firms will cluster on round fractions more than the stock prices of non-financial firms. Indeed, we find that the stock prices of opaque financial firms round on nickels and quarters more than the stock prices of less opaque non-financial firms. These results are robust to a battery of robustness tests that include measuring clustering at different frequencies, different econometric specifications, and different matched sample techniques. To draw stronger causal inferences, we use the passing of the Sarbanes-Oxley (SOX) Act as an exogenous shock to the level of transparency in the financial services sector. We find that price clustering decreases more for financial firms than for non-financial firms during the post-SOX regulation period. We also show that, relative to less opaque financial firms, those financial firms that are more opaque experienced the greatest decline in price clustering during the post-SOX period. Price clustering (dpeaa)DE-He213 Financial intermediaries (dpeaa)DE-He213 Opacity (dpeaa)DE-He213 Market efficiency (dpeaa)DE-He213 Blau, Benjamin M. verfasserin aut Griffith, Todd G. verfasserin aut Enthalten in Journal of financial services research New York,NY : Springer Science + Business Media B.V., 1987 60(2020), 2-3 vom: 15. Aug., Seite 187-206 (DE-627)32057458X (DE-600)2016889-5 1573-0735 nnns volume:60 year:2020 number:2-3 day:15 month:08 pages:187-206 https://dx.doi.org/10.1007/s10693-020-00341-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_184 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 83.00 ASE AR 60 2020 2-3 15 08 187-206 |
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10.1007/s10693-020-00341-w doi (DE-627)SPR045458081 (SPR)s10693-020-00341-w-e DE-627 ger DE-627 rakwb eng 330 ASE 83.00 bkl Baig, Ahmed verfasserin aut Firm Opacity and the Clustering of Stock Prices: the Case of Financial Intermediaries 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2020 Abstract In this study, we develop and test the hypothesis that because of opacity, the stock prices of financial firms will cluster on round fractions more than the stock prices of non-financial firms. Indeed, we find that the stock prices of opaque financial firms round on nickels and quarters more than the stock prices of less opaque non-financial firms. These results are robust to a battery of robustness tests that include measuring clustering at different frequencies, different econometric specifications, and different matched sample techniques. To draw stronger causal inferences, we use the passing of the Sarbanes-Oxley (SOX) Act as an exogenous shock to the level of transparency in the financial services sector. We find that price clustering decreases more for financial firms than for non-financial firms during the post-SOX regulation period. We also show that, relative to less opaque financial firms, those financial firms that are more opaque experienced the greatest decline in price clustering during the post-SOX period. Price clustering (dpeaa)DE-He213 Financial intermediaries (dpeaa)DE-He213 Opacity (dpeaa)DE-He213 Market efficiency (dpeaa)DE-He213 Blau, Benjamin M. verfasserin aut Griffith, Todd G. verfasserin aut Enthalten in Journal of financial services research New York,NY : Springer Science + Business Media B.V., 1987 60(2020), 2-3 vom: 15. Aug., Seite 187-206 (DE-627)32057458X (DE-600)2016889-5 1573-0735 nnns volume:60 year:2020 number:2-3 day:15 month:08 pages:187-206 https://dx.doi.org/10.1007/s10693-020-00341-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_184 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 83.00 ASE AR 60 2020 2-3 15 08 187-206 |
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10.1007/s10693-020-00341-w doi (DE-627)SPR045458081 (SPR)s10693-020-00341-w-e DE-627 ger DE-627 rakwb eng 330 ASE 83.00 bkl Baig, Ahmed verfasserin aut Firm Opacity and the Clustering of Stock Prices: the Case of Financial Intermediaries 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © Springer Science+Business Media, LLC, part of Springer Nature 2020 Abstract In this study, we develop and test the hypothesis that because of opacity, the stock prices of financial firms will cluster on round fractions more than the stock prices of non-financial firms. Indeed, we find that the stock prices of opaque financial firms round on nickels and quarters more than the stock prices of less opaque non-financial firms. These results are robust to a battery of robustness tests that include measuring clustering at different frequencies, different econometric specifications, and different matched sample techniques. To draw stronger causal inferences, we use the passing of the Sarbanes-Oxley (SOX) Act as an exogenous shock to the level of transparency in the financial services sector. We find that price clustering decreases more for financial firms than for non-financial firms during the post-SOX regulation period. We also show that, relative to less opaque financial firms, those financial firms that are more opaque experienced the greatest decline in price clustering during the post-SOX period. Price clustering (dpeaa)DE-He213 Financial intermediaries (dpeaa)DE-He213 Opacity (dpeaa)DE-He213 Market efficiency (dpeaa)DE-He213 Blau, Benjamin M. verfasserin aut Griffith, Todd G. verfasserin aut Enthalten in Journal of financial services research New York,NY : Springer Science + Business Media B.V., 1987 60(2020), 2-3 vom: 15. Aug., Seite 187-206 (DE-627)32057458X (DE-600)2016889-5 1573-0735 nnns volume:60 year:2020 number:2-3 day:15 month:08 pages:187-206 https://dx.doi.org/10.1007/s10693-020-00341-w lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_184 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 83.00 ASE AR 60 2020 2-3 15 08 187-206 |
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firm opacity and the clustering of stock prices: the case of financial intermediaries |
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Firm Opacity and the Clustering of Stock Prices: the Case of Financial Intermediaries |
| abstract |
Abstract In this study, we develop and test the hypothesis that because of opacity, the stock prices of financial firms will cluster on round fractions more than the stock prices of non-financial firms. Indeed, we find that the stock prices of opaque financial firms round on nickels and quarters more than the stock prices of less opaque non-financial firms. These results are robust to a battery of robustness tests that include measuring clustering at different frequencies, different econometric specifications, and different matched sample techniques. To draw stronger causal inferences, we use the passing of the Sarbanes-Oxley (SOX) Act as an exogenous shock to the level of transparency in the financial services sector. We find that price clustering decreases more for financial firms than for non-financial firms during the post-SOX regulation period. We also show that, relative to less opaque financial firms, those financial firms that are more opaque experienced the greatest decline in price clustering during the post-SOX period. © Springer Science+Business Media, LLC, part of Springer Nature 2020 |
| abstractGer |
Abstract In this study, we develop and test the hypothesis that because of opacity, the stock prices of financial firms will cluster on round fractions more than the stock prices of non-financial firms. Indeed, we find that the stock prices of opaque financial firms round on nickels and quarters more than the stock prices of less opaque non-financial firms. These results are robust to a battery of robustness tests that include measuring clustering at different frequencies, different econometric specifications, and different matched sample techniques. To draw stronger causal inferences, we use the passing of the Sarbanes-Oxley (SOX) Act as an exogenous shock to the level of transparency in the financial services sector. We find that price clustering decreases more for financial firms than for non-financial firms during the post-SOX regulation period. We also show that, relative to less opaque financial firms, those financial firms that are more opaque experienced the greatest decline in price clustering during the post-SOX period. © Springer Science+Business Media, LLC, part of Springer Nature 2020 |
| abstract_unstemmed |
Abstract In this study, we develop and test the hypothesis that because of opacity, the stock prices of financial firms will cluster on round fractions more than the stock prices of non-financial firms. Indeed, we find that the stock prices of opaque financial firms round on nickels and quarters more than the stock prices of less opaque non-financial firms. These results are robust to a battery of robustness tests that include measuring clustering at different frequencies, different econometric specifications, and different matched sample techniques. To draw stronger causal inferences, we use the passing of the Sarbanes-Oxley (SOX) Act as an exogenous shock to the level of transparency in the financial services sector. We find that price clustering decreases more for financial firms than for non-financial firms during the post-SOX regulation period. We also show that, relative to less opaque financial firms, those financial firms that are more opaque experienced the greatest decline in price clustering during the post-SOX period. © Springer Science+Business Media, LLC, part of Springer Nature 2020 |
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Firm Opacity and the Clustering of Stock Prices: the Case of Financial Intermediaries |
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https://dx.doi.org/10.1007/s10693-020-00341-w |
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Blau, Benjamin M. Griffith, Todd G. |
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10.1007/s10693-020-00341-w |
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| score |
7.398796 |