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Purpose – The aim of this paper is to examine the informational efficiency of prices of all exchange traded funds (ETFs) that are actively traded on the NYSE Arca, based on methodology developed by Chordia et al. Design/methodology/approach – The authors estimate the speed of convergence to...
Persistent link: https://www.econbiz.de/10014940298
Chordia, Roll and Subrahmanyam (2005, CRS) estimate the speed of convergence to market efficiency based on short-horizon return predictability of the 150 largest NYSE firms. We extend CRS to a broad panel of NYSE stocks and are the first to examine the relation between electronic communication...
Persistent link: https://www.econbiz.de/10010594256
Purpose – The aim of this paper is to examine the informational efficiency of prices of all exchange traded funds (ETFs) that are actively traded on the NYSE Arca, based on methodology developed by Chordia et al. Design/methodology/approach – The authors estimate the speed of convergence to...
Persistent link: https://www.econbiz.de/10010639488
Persistent link: https://www.econbiz.de/10009700602