CEO Media Exposure and Stock Price Synchronicity: Simultaneous Equations System

An important part of capital market research is relating stock price and its informative, especially the firm-specific information. Accordingly, many studies have been directed on the concept of stock price synchronicity and the factors affecting it, which represent part of stock price informative. In explaining these factors, the CEO media exposure is one of the factors that affect the stock prices synchronicity. Therefore, and due to the importance of the impact of this factor, which indicates how investors pay attention to the specific information of businesses, the purpose of this study is to investigate the effect of CEO media coverage on stock price synchronization. In this regard, was collecting data of 146 firm of Tehran Stock Exchange during the years 2011 to 2019 and tested with the simultaneous equations system. Findings based on the Generalized Method of Moments (GMM) showed that the CEO media exposure has a negative effect on stock price synchronicity. Also, according to the seemingly unrelated regression (SUR), there is a relationship between CEO media exposure and stock price synchronicity. These findings underscore the information role of CEO media exposure as one of the sources of corporate information transmission to the market.