Peer firms’ reporting frequency and stock price synchronicity: European evidence

Funding Information: We thank Robert K. Larson (Editor), anonymous reviewers, Mansoor Afzali, Gonul Colak, Fernando Distadio, Kim Ittonen, Eva Liljeblom, Stephen Taylor, Sue Wright, and seminar participants at University of Technology Sydney and Griffith University. Jesper Haga is grateful for financial support from the Society of Swedish Literature in Finland. Dennis Sundvik acknowledges the funding from Liikesivistysrahasto and OP Group Research foundation. All errors are our own. Publisher Copyright: © 2022 The Author(s)This study investigates whether and how the amount of firm-specific information incorporated into stock prices changes when there is more quarterly, rather than semi-annual, reporting in the peer group. Using a sample of 33,338 European firm-year observations from 2004 to 2017, we find a significantly negative relationship between stock price synchronicity and concentration of quarterly reporting among a firm’s peers. We argue that more public peer disclosure stimulates acquisition of private firm-specific information. Additional tests show that the negative relationship is strongest among firms with semi-annual reporting, opaque earnings, and low institutional ownership. We further decompose the synchronicity measure into market and industry co-movement and find that the former is decreasing while the latter is increasing with more frequent peer reporting.Peer reviewe