Evaluation of Information Leadership Share as Price Discovery Measure

Traditionally the price discovery is measured by information share (IS) and component share (CS) measures. Recently, Putnins (2013) proposed another measure called information leadership share (ILS) measure based on IS and CS measures. This paper performs an evaluation of ILS and finds some issues with it. Therefore, we suggest that researchers continue using the IS and CS related measures instead of the ILS measure

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Year of publication:	[2021]
Authors:	Shrestha, Keshab ; Lee, Lianne Mei Quin
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Bewertung \| Evaluation \| Börsenkurs \| Share price \| Informationsverbreitung \| Information dissemination

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Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2021 erstellt
Other identifiers:	10.2139/ssrn.3893392 [DOI]
Classification:	C02 - Mathematical Methods ; c18 ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013216448