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The impact of market frictions and price delay on the stock returns in the French market

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  • Siwar Ellouz

Abstract

We explain the importance of existing frictions on the market that affect the French market stocks, using an average delay with which the price of the stock answers to information. The firms that present the most important delay of information inclusion in the prices of their stocks are generally those of small size. Their returns can be foreseeable, being based on the passed prices of the stocks and the market portfolio.

Suggested Citation

  • Siwar Ellouz, 2011. "The impact of market frictions and price delay on the stock returns in the French market," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, vol. 3(4), pages 367-378.
  • Handle: RePEc:ids:injmfa:v:3:y:2011:i:4:p:367-378
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    Cited by:

    1. Francesco Caputo & Manlio Del Giudice & Federica Evangelista & Giuseppe Russo, 2016. "Corporate disclosure and intellectual capital: the light side of information asymmetry," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, vol. 8(1), pages 75-96.

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