Have financial markets become more informative?

• 成果类型: Article
• 署名作者: Bai, Jennie; Philippon, Thomas; Savov, Alexi
• 署名单位: Georgetown University; New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.08.005
• 发表日期: 2016
• 页码: 625-654
• 关键词: PRICE INFORMATIVENESS; Economic growth; INVESTMENT; Revelatory price efficiency; Forecasting price efficiency

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.