Syn
_{
i,t
}

Syn_{i,t} is stock price synchronicity for firm i during year t, Syn = log (R^{2} / (1–R^{2})), where R^{2} is the coefficient of determination from the estimation of model (1) using daily return of the Shanghai and Shenzhen Exchange stocks with a minimum of 30 daily observations.

Ad
_{
i,t
}

Advertising intensity, calculated by the advertising expenses scaled by the sales revenue in year t.

Debt
_{
i,t
}

Firm financial leverage, calculated by the book value of total liabilities divided by the book value of total assets in year t.

Size
_{
i,t
}

The natural logarithm of the book value of total assets in year t.

Mb
_{
i,t
}

Market to book ratio, calculated by the sum of the market value of tradable shares and book value of nontradable shares divided by the book value of total assets in year t.

Turnover
_{
i,t
}

The total number of shares traded in a year divided by the total number of shares outstanding at the end of year t.

Big4
_{
i,t
}

A dummy variable that equals 1 if the firm hires an international Big4 accounting firm in year t and 0 otherwise.

Age
_{
i,t
}

The number of years from IPO for firm i.

Roa
_{
i,t
}

Return on assets, calculated by net profit divided by the book value of total assets in year t.

Institution
_{
i,t
}

The percentage of shares held by institutional owners in year t.

Top1
_{
i,t
}

The percentage of shares owned by the largest shareholder in year t.

Msh
_{
i,t
}

A dummy variable that equals 1 if top managers hold shares and 0 otherwise.

Independent
_{
i,t
}

The percentage of independent directors on a board in year t.

IV_Ad
_{
i,t
}

The mean of advertising intensity of firms in the same industry for firm i in year t, excluding the firm i.

Ad_1
_{
i,t
}

Advertising expenditure scaled by total assets in year t.

Ad_2
_{
i,t
}

The natural logarithm of one plus advertising expenditure in year t.

RD
_{
i,t
}

R&D intensity, calculated by the R&D expenditure divided by net sales for firm i in year t.

DISPEN
_{
i,t
}

The standard deviation of all earnings estimates across analysts covering firm i in year t.

ILLIQ
_{
i,t
}

Stock illiquidity, calculated by the square root of the absolute value of stock return divided by trade volume for firm i in year t.

CONSU
_{
i,t
}

A dummy variable that equals 1 if the industry of firm i is classified as “consumer discretionary” or “consumer staples” in WIND database and 0 otherwise.

R
_{
i,t
}

Cumulative buyandhold return for firm i in year t.

Earnings
_{
i,t
}

The income scaled by beginning market value of equity for firm i in year t.

Bm
_{
i,t
}

Booktomarket ratio at the beginning of year t.

Growth
_{
i,t
}

The growth rate in sales revenue from the beginning of the year to the end of year t.

Coverage
_{
i,t
}

The natural logarithm of the sum of the number of analysts covering firm i plus 1 in year t.

HHI
_{
i,t
}

The sum of squared market shares of all firms in an industry for firm i in year t.

Indn
_{
i,t
}

The number of competitors in the same industry for firm i in year t.
