The delay of stock price adjustment to information: A country-level analysis
This study measures the speed with which the aggregate stock market in 49 countries responds to global market-wide public information. Our empirical results show that there are wide variations in the aggregate price delay values over time and across countries. Subsequent panel analysis confirms previous firm-level evidence that market size, trading volume, short sales restrictions and the degree of investability are significant determinants of price delay even at the country level.
Volume (Year): 30 (2010)
Issue (Month): 2 ()
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- Kewei Hou & Tobias J. Moskowitz, 2005. "Market Frictions, Price Delay, and the Cross-Section of Expected Returns," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 981-1020.
- Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
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- Albuquerque, Rui & H. Bauer, Gregory & Schneider, Martin, 2009.
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- Albuquerque, Rui & Bauer, Gregor H & Schneider, Martin, 2006. "Global Private Information in International Equity Markets," CEPR Discussion Papers 5819, C.E.P.R. Discussion Papers.
- Nuno Fernandes & Miguel A. Ferreira, 2009. "Insider Trading Laws and Stock Price Informativeness," Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 1845-1887, May.
- John M. Griffin & Patrick J. Kelly & Federico Nardari, 2010. "Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 3225-3277, August.
- DeFond, Mark & Hung, Mingyi & Trezevant, Robert, 2007. "Investor protection and the information content of annual earnings announcements: International evidence," Journal of Accounting and Economics, Elsevier, vol. 43(1), pages 37-67, March.
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