Have financial markets become more informative?

被引：164

作者：

Bai, Jennie ^{[1
]}

Philippon, Thomas ^{[2
,3
]}

Savov, Alexi ^{[2
,3
]}

机构：

[1] Georgetown Univ, McDonough Sch Business, 37th & O St NW, Washington, DC 20057 USA

[2] NYU, Stern Sch Business, 44 West 4th St, New York, NY 10012 USA

[3] Natl Bur Econ Res, 1050 Massachusetts Ave, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2016年 / 122卷 / 03期

关键词：

Price informativeness; Economic growth; Investment; Revelatory price efficiency; Forecasting price efficiency; PRESIDENTIAL-ADDRESS; CAPITAL-MARKETS; VALUE-RELEVANCE; STOCK-PRICES; EARNINGS; INVESTMENT; GROWTH; DISCLOSURE; EFFICIENT; ENVIRONMENT;

D O I：

10.1016/j.jfineco.2016.08.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The finance industry has grown, financial markets have become more liquid, information technology has been revolutionized. But have financial market prices become more informative? We derive a welfare-based measure of price informativeness: the predicted variation of future cash flows from current market prices. Since 1960, price informativeness has increased at longer horizons (three to five years). The increase is concentrated among firms with greater institutional ownership and share turnover, firms with options trading, and growth firms. Prices have also become a stronger predictor of investment, and investment a stronger predictor of cash flows. These findings suggest increased revelatory price efficiency. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：625 / 654

页数：30