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Stock Return Synchronicity and Analysts’ Forecast Properties

Gadjah Mada International Journal of Business (GamaIJB) · Vol. 18 No. 3 (2016) · pp. 301–314

DOI
10.22146/gamaijb.16941
ISSN
2338-7238, 1411-1128
Published
2016-12-02
Publisher
Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Language
eng
License
creativecommons.org/licenses/by-sa/4.0

Abstract

Using stock return synchronicity as a measure of a firm’s information environment, our research investigates how the firms’ stock return synchronicity affects analysts’ forecast properties for the accuracy and optimism of the analysts’ annual earnings forecasts. Stock return synchronicity represents the degree to which market and industry information explains firm-level stock return variations. A higher stock return synchronicity indicates the higher quality of a firm’s information environment, because a firm’s stock price reflects more market-level and industry-level information relative to firm-specific information. Our study shows that stock return synchronicity positively affects the forecast properties. Our finding shows that when stock return synchronicity is high, analysts’ annual earnings forecasts are more accurate and less optimistically biased.

Keywords

Collaboration network of the authors

4 authors · 4 co-authorship links · 1 across different organisations

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  • Hanyang University
  • Hanshin University
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
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Co-authorOrganisationJoint articles
Jihwan ChoiHanshin University1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, first harvested 28 Okt 2026, last seen 1 Nov 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en-US">Stock Return Synchronicity and Analysts’ Forecast Properties</dc:title>
	<dc:creator>Cho, Joong-Seok</dc:creator>
	<dc:creator>Park, Hyung Ju</dc:creator>
	<dc:creator>Park, Ji-Hye</dc:creator>
	<dc:subject xml:lang="en-US"></dc:subject>
	<dc:subject xml:lang="en-US">G14, M41</dc:subject>
	<dc:description xml:lang="en-US">Using stock return synchronicity as a measure of a firm’s information environment, our research investigates how the firms’ stock return synchronicity affects analysts’ forecast properties for the accuracy and optimism of the analysts’ annual earnings forecasts. Stock return synchronicity represents the degree to which market and industry information explains firm-level stock return variations. A higher stock return synchronicity indicates the higher quality of a firm’s information environment, because a firm’s stock price reflects more market-level and industry-level information relative to firm-specific information. Our study shows that stock return synchronicity positively affects the forecast properties. Our finding shows that when stock return synchronicity is high, analysts’ annual earnings forecasts are more accurate and less optimistically biased.</dc:description>
	<dc:publisher xml:lang="en-US">Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada</dc:publisher>
	<dc:contributor xml:lang="en-US"></dc:contributor>
	<dc:date>2016-12-02</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.ugm.ac.id/gamaijb/article/view/16941</dc:identifier>
	<dc:identifier>10.22146/gamaijb.16941</dc:identifier>
	<dc:source xml:lang="en-US">Gadjah Mada International Journal of Business; Vol 18, No 3 (2016): September-December; 301-314</dc:source>
	<dc:source>2338-7238</dc:source>
	<dc:source>1411-1128</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/16941/11139</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2016 Gadjah Mada International Journal of Business</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
</oai_dc:dc>