Speaker
Description
The integrity and informational value of financial reporting are fundamental to the proper functioning of capital markets, as they shape the extent to which firm-level signals are embedded in equity prices. This paper examines how the qualitative characteristics of financial disclosures influence the degree of stock price co-movement, proxied by return synchronicity, within the context of the Bucharest Stock Exchange. The empirical investigation relies on a panel dataset comprising 334 listed entities over the period 2008 - 2023 and applies econometric modeling to evaluate the association between reporting quality proxies and the informational structure of stock returns. The results reveal that market-wide factors account for approximately 19% of the variation in individual stock returns, indicating a predominance of idiosyncratic information in price formation. The empirical analysis indicates that accrual-based earnings management does not constitute a statistically significant determinant of stock return synchronicity. In contrast, the persistence of reported earnings demonstrates a positive and moderately robust association, suggesting that smoother and more predictable financial performance may lead to a marginal increase in return co-movement, likely due to enhanced market anticipation of firm prospects. Regarding firm-specific controls, both profitability and company scale display a negative and statistically significant linkage with stock return synchronicity, implying that larger and more efficient firms tend to convey more firm-specific information to investors. Conversely, no significant effects are identified for audit quality, industry, or financial leverage. By providing evidence from an emerging European market, this study enriches the literature on the informational role of financial reporting and its implications for price formation mechanisms. The findings offer insights for market participants and regulatory authorities interested in strengthening transparency and improving the informational efficiency of capital markets.
