Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets

• 成果类型: Article
• 署名作者: Griffin, John M.; Kelly, Patrick J.; Nardari, Federico
• 署名单位: State University System of Florida; University of South Florida; University of Texas System; University of Texas Austin; University of Houston System; University of Houston
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq044
• 发表日期: 2010
• 页码: 3225
• 关键词: stock-prices; momentum; earnings; returns; INFORMATION; liquidity; RISK; profitability; adjustment; strategies

摘要

Using data from 56 markets, we find that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets. Variance ratios and market delay measures often show greater deviations from random walk pricing in developed markets. Conceptually, we show that commonly used efficiency tests can yield misleading inferences because they do not control for the information environment. Our evidence corrects misperceptions that emerging markets feature larger trading profits and higher return autocorrelation, highlights crucial limitations of weak and semi-strong form efficiency measures, and points to the importance of measuring informational aspects of efficiency. (JEL F30, G14, G15)