Indexing and Stock Price Efficiency

2013 ◽  
Author(s):  
Nan Qin ◽  
Vijay Singal
Keyword(s):  
Stock Price ◽  
Price Efficiency

Top managerial power and stock price efficiency: Evidence from China

2018 ◽  
Vol 47 ◽  
pp. 20-38 ◽  
Author(s):  
Meifen Qian ◽  
Ping-Wen Sun ◽  
Bin Yu
Keyword(s):  
Stock Price ◽  
Price Efficiency ◽  
Managerial Power

On the use of the market model R-square as a measure of stock price efficiency

2013 ◽  
Vol 44 (2) ◽  
pp. 379-391 ◽  
Author(s):  
Riccardo Bramante ◽  
Giovanni Petrella ◽  
Diego Zappa
Keyword(s):  
Stock Price ◽  
Market Model ◽  
Price Efficiency

Foreign Shareholding and Stock Price Efficiency: Firm-Level Evidence from Malaysia

2013 ◽  
Author(s):  
Kian-Ping Lim ◽  
Chee Wooi Hooy ◽  
Kwok-Boon Chang ◽  
Robert Darren Brooks
Keyword(s):  
Stock Price ◽  
Firm Level ◽  
Price Efficiency

scholarly journals Analyst Downgrades, Short Sale Constraints, And Intra-Day Stock Price Efficiency

2015 ◽  
Vol 31 (4) ◽  
pp. 1343
Author(s):  
Kevin Zhao
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Price Efficiency ◽  
Price Response ◽  
Short Sale Constraints ◽  
Short Sale ◽  
New Information ◽  
After Hours ◽  
And Control ◽  
The Impact

This paper studies the impact of short sale constraints on stock price efficiency upon arrival of analyst downgrades. Examining the speed of which stock price response to analyst downgrades for pilot (short sale non-constrained) stocks and control (short sale constrained) stocks in an intra-day setting, I find evidence supporting the hypothesis that short sale constrains hamper intra-day stock price efficiency. For after-hours downgrades, pilot stocks respond quickly, with virtually all of the price response incorporated by the following open, while control stocks take an extra five minutes after opening to fully reflect the new information. For during-hour downgrades, the negative information is partially incorporated into pilot stock prices up to two hours before the recommendation is released, while control stocks take up to an hour and a half after the release to impound the information into stock price, confirming that short sale constraints lower stock price efficiency.

Does short selling improve stock price efficiency and liquidity? Evidence from a natural experiment in China

2017 ◽  
Vol 24 (15) ◽  
pp. 1350-1368 ◽  
Author(s):  
Zhisheng Li ◽  
Bingxuan Lin ◽  
Ting Zhang ◽  
Chen Chen
Keyword(s):  
Stock Price ◽  
Natural Experiment ◽  
Short Selling ◽  
Price Efficiency
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