R² and stock price informativeness : new empirical evidence : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance at Massey University, Palmerston North, New Zealand

Abstract

This thesis aims to answer the question of whether low R2 indicates more or less informative stock price from three aspects: by focusing on the firm-specific information produced by stock analysts outside a company (essay one); by focusing on the firmspecific information conveyed by dividend announcements made by managers inside a company (essay two); and by investigating R2 and its relation to bond pricing and bond structure in the bond market (essay three). Taken together, the three independent but related essays present a comprehensive analysis on R2 and provide insightful empirical evidence to the implication of R2. Consistent findings from three essays are documented to support the contention that low R2 stocks are actually associated with less informative stock prices.