The source of information in prices and investment-price sensitivity

• 成果类型: Article
• 署名作者: Edmans, Alex; Jayaraman, Sudarshan; Schneemeier, Jan
• 署名单位: University of London; London Business School; Centre for Economic Policy Research - UK; European Corporate Governance Institute; University of Rochester; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.06.017
• 发表日期: 2017
• 页码: 74-96
• 关键词: Financial efficiency; Real efficiency; Real effects of financial markets; Insider trading

摘要

This paper shows that real decisions depend not only on the total amount of information in prices, but the source of this information-a manager learns from prices when they contain information not possessed by him. We use the staggered enforcement of insider trading laws across 27 countries as a shock to the source of information that leaves total information unchanged: enforcement reduces (increases) managers' (outsiders') contribution to the stock price. Consistent with the predictions of our theoretical model, enforcement increases investment-q sensitivity, even when controlling for total price informativeness. The effect is larger in industries where learning is likely to be stronger, and in emerging countries where outsider information acquisition rises most post-enforcement. Enforcement does not increase the sensitivity of investment to cash flow, a non-price measure of investment opportunities. These findings suggest that extant measures of price efficiency should be rethought when evaluating real efficiency. More broadly, our paper provides causal evidence that managers learn from prices, by using a shock to price informativeness. (C) 2017 The Authors. Published by Elsevier B.V.