The capital market spillover effect of product market advertising:Evidence from stock price synchronicity  

作　　者：Yajie Chen Qinlin Zhong Fuxiu Jiang 

机构地区：[1]Business School,Renmin University of China,Beijing 100872,China

出　　处：《Frontiers of Business Research in China》2020年第2期196-216,共21页中国高等学校学术文摘·工商管理研究（英文版）

基　　金：Supported by National Natural Science Foundation of China(No.71902183).

摘　　要：We analyze whether product market advertising has a spillover effect on stock price synchronicity by transmitting firm-specific information to the capital market and attracting more investor attention.Using a sample of Chinese listed firms from 2009 to 2017,we find that firms with greater advertising expenditures have lower stock price synchronicity.The results are robust after we address endogeneity concerns.In accord with our hypothesis that product market advertising increases the amount of firm-level information capitalized into stock prices through the information channel,we find that the impact of advertising on synchronicity is more pronounced for firms with a higher degree of information asymmetry and firms in the consumer-product industry.Further tests show that product market advertising enhances the ability of current period returns to reflect future earnings,and thus rules out that the negative relationship between advertising and synchronicity is driven by noise trading.Our results imply that product market advertising plays an informative role and improves information efficiency in a capital market.

关 键 词：ADVERTISING Stock price synchronicity Spillover effect Product market Capital market Investor attention Information asymmetry 

分 类 号：F42[经济管理—产业经济]