Efficiency of financial production process and its dependence on price anchors : evidence from India

Sayantan Kundu, Aditya Banerjee

This paper measures the degree to which disclosed annual financial information assimilates into stock prices through the financial production process (FPP). Since it is established that price anchors impact investor trading decisions, the effect of proximity to chosen price anchors and the historical high and low prices on FPP efficiency is analysed for 611 Indian firms across 11 industries. Results show that a significant number of stocks are FPP inefficient, and the FPP efficiency is mean-reverting. Further, FPP efficiencies depend on proximity to price anchors, implying that FPP efficiency is a proxy measure of behavioural bias in stock prices.

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Year of publication:	2024
Authors:	Kundu, Sayantan ; Banerjee, Aditya
Published in:	IIMB Management Review. - Bangalore : Indian Institute of Management (IIMB), ISSN 2212-4446, ZDB-ID 2130280-7. - Vol. 36.2024, 1, p. 56-70
Subject:	Behavioural bias \| Data envelopment analysis \| Historical highs and lows \| Indian stocks \| Price anchors \| Price discovery \| Indien \| India \| Data-Envelopment-Analyse \| Börsenkurs \| Share price

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1016/j.iimb.2024.02.003 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014636924