Yang, Baochen and Xue, Fangzhan and Su, Yunpeng and Yan, Cheng (2019) Is informational inefficiency priced in stock markets? A comparison between the U.S. and Chinese cases. Pacific-Basin Finance Journal, 55. pp. 222-238. DOI https://doi.org/10.1016/j.pacfin.2019.04.005
Yang, Baochen and Xue, Fangzhan and Su, Yunpeng and Yan, Cheng (2019) Is informational inefficiency priced in stock markets? A comparison between the U.S. and Chinese cases. Pacific-Basin Finance Journal, 55. pp. 222-238. DOI https://doi.org/10.1016/j.pacfin.2019.04.005
Yang, Baochen and Xue, Fangzhan and Su, Yunpeng and Yan, Cheng (2019) Is informational inefficiency priced in stock markets? A comparison between the U.S. and Chinese cases. Pacific-Basin Finance Journal, 55. pp. 222-238. DOI https://doi.org/10.1016/j.pacfin.2019.04.005
Abstract
Using a sample of U.S. and Chinese stocks between July 1999 and June 2016, we investigate the pricing role of informational inefficiency in stock markets. We find that the relations between returns and the informational inefficiency factor statistically change from significantly positive, to insignificant, and further to significantly negative as informational efficiency increases. This finding provides new insights into the common belief that emerging markets are less efficient than developed markets. We propose new factor models for less efficient markets. Our conclusions are robust to alternative ways of sorting portfolios, to various subsample analyses, and to alternative factor models.
Item Type: | Article |
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Uncontrolled Keywords: | Market efficiency; Entropy; Adaptive markets hypothesis |
Subjects: | H Social Sciences > HG Finance |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School Faculty of Social Sciences > Essex Business School > Essex Finance Centre |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 23 Apr 2019 15:44 |
Last Modified: | 16 May 2024 19:47 |
URI: | http://repository.essex.ac.uk/id/eprint/24492 |
Available files
Filename: Manuscript.pdf