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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- 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.
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- Albuquerque, Rui & Bauer, Gregor H & Schneider, Martin, 2006.
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CEPR Discussion Papers
5819, C.E.P.R. Discussion Papers.
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- 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.
- Paulo Alves & Ken Peasnell & Paul Taylor, 2009. "The use of the R2 as a measure of firm-specific information: A cross-country critique," Working Papers de Gestão (Management Working Papers) 02, Católica Porto Business School, Universidade Católica Portuguesa.
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