Wei Hao

PhD, (Finance)
Study Completed: 2016
College of Business

Citation

Thesis Title
R2 and Stock Price Informativeness: New Empirical Evidence

Read article at Massey Research Online: MRO icon

Despite the wide exploration and application of the regression statistic, R² in the finance literature, the interpretation of R² as a measurement of stock price informativeness is still unclear according to the existing literature. Ms Hao investigated the relationship between R2 and stock price informativeness by conducting research in three different context: by focusing on the firm-specific information produced by stock analysts outside a company; by focusing on the firm-specific information conveyed by dividend announcements made by managers inside a company; and by investigating R2 and its relation to bond pricing and bond structure in the bond market. In contrast to the conventional wisdom that R2 is an inverse measurement of stock price informativeness, her findings suggest that low R2 is actually an indication of price inefficiency and low price informativeness. Her research contributes to the ongoing debate on R2interpretation by providing new empirical evidence.

Supervisors
A/Pro Jeff Wongchoti
Prof Martin Young
A/Prof Andrew Prevost

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