Enhancing capital market efficiency: The role of data assets disclosure in reducing stock price synchronicity

Abstract

In the burgeoning digital economy, data have emerged as a pivotal factor of production, embodying a critical source of competitive advantage and core assets for companies. This study investigates the influence of data assets disclosure on the efficiency of capital market pricing, particularly through the lens of stock price synchronicity among Shanghai and Shenzhen A-share listed companies from 2013 to 2021. The analysis reveals that transparent data assets information significantly diminishes stock price synchronicity. The reduction is more pronounced when the disclosed data assets information is highly verifiable and comprehensible. Mechanistic exploration suggests that this effect primarily arises from diminished information asymmetry, enhanced long-term investments by institutional investors, and eased financing constraints. Notably, the impact is more substantial in non-high-tech companies and those with superior information disclosure ratings. After rigorous robustness checks and endogeneity considerations, our findings persist, highlighting the critical function of data assets disclosure in reducing stock price synchronicity and offering actionable insights for refining corporate information disclosure and governance practices.