This paper investigates the speed of price discovery when information becomes publicly available but requires costly processing to become common knowledge. We exploit the unique institutional setting of hacks on decentralized finance (DeFi) protocols. Public blockchain data provides the precise...

This paper investigates the informational efficiency of global crude oil markets using a recently introduced quantitative measure for market inefficiency. The methodology assesses the deviation of observed oil price behavior from the Random Walk benchmark, representing an efficient market. The...

This paper investigates the informational efficiency of green bond markets using a recently introduced quantitative measure for market inefficiency. The methodology assesses the deviation of observed asset price behavior from the Random Walk benchmark, which represents an efficient market. The...

The random inspection of the China Securities Regulatory Commission (CSRC) is an important policy for practicing "standardizing regulatory behavior and innovating management modes". This study investigates how CSRC's random affect capital market information efficiency from the perspective of...

Data assets serve functions such as value preservation and appreciation, financing, and value creation. They contain extensive information about enterprises' operational status and future development prospects, providing significant references for external investors' decision-making and greatly...

Existing studies on the impact of social media on the information efficiency of capital markets have opposing views. As a core feature of social media, the role of investor interaction is often overlooked. To fill this gap, using the social network analysis (SNA) method, we examine the...

This research link market microstructure with efficiency. Liquidity and volatility are linked with time-varying informational efficiency of the Asian emerging economies. Three measures are used for each variable. Using SGMM, this study finds that both variables have significant role in driving...

Aid beneficiaries know very little about development interventions in their own communities. This lack of transparency and information is likely to reduce beneficiaries' ability and willingness to become active in local development. It may also dampen intended aid effects on beneficiaries'...

In this article, it has been tried to investigate two dimensions of information efficiency (secret news leakage and speed of impact of news) about the companies that make up the Dow Jones index (DJI). For this purpose, the price data of the days before and after the reporting of quarterly...

Existing studies on the impact of social media on the information efficiency of capital markets have opposing views. As a core feature of social media, the role of investor interaction is often overlooked. To fill this gap, using the social network analysis (SNA) method, we examine the...

In a setting with dispersed information, monopolistic competition and sticky-prices, a policy authority uncertain about the monetary transmission mechanism reacts prudently to supply shocks. This induces producers to ascribe an excessive importance to their private information when setting...

We study the relation between equity market uncertainty and the informational efficiency of U.S. equity prices, proxied by the SPDR S&P 500 Trust ETF. Using the Baker, Bloom, and Davis (2016) equity market uncertainty index, we document a negative relation between market uncertainty and...

Using Chinese equity data from April 2009 to August 2020, we contribute to the literature by exploring the impact of short selling on stock prices in three aspects. First, we find that as short sellers become more active, stock price adjustments accelerate, and prices respond more swiftly to...

Using a large sample of firms across 35 countries from 2001 to 2021, we show a significantly positive association between a firm's climate risk exposure and speed of leverage adjustment. A plausible explanation is that climate risk exposure mitigates agency conflicts and improves information...

The timeliness of the credit rating of a firm has been frequently called into question over the previous two decades. This paper examines whether changes in credit ratings can be updated more frequently than at the frequency of updates in the accounting data. The paper finds that, when market...

We formulate a measure of information efficiency in a general, no-arbitrage semimartingale model of the price process. The market quality measure is applied to a high-frequency dataset from the interdealer FX market to identify changes in market efficiency after a decimalization of tick size.

This study investigates how exchange-traded fund (ETF) activity affects the informational efficiency of its underlying stocks in the Chinese market which has several different features from developed markets. We show that increased ETF ownership improves stock liquidity and attracts informed...

The ability of option-based measures to predict future stock returns is not a sufficient condition for the existence of incremental information in options. If options markets are informationally more efficient than the stock market, then option measures may be used to predict future actual stock...

Information is key to decision-making and is a major determinant of investment performance. We hypothesise that as analysts are constrained by their research resources, they collect information with more externalities. Measuring information externalities as a stock’s fundamental correlations...

We investigate the role of retail traders on market informational efficiency. The literature is inconclusive about characterizing retail trades in terms of these trades’ informativeness. Also, their well-documented role in liquidity can mediate the effects on efficiency. Major Australian TV...

This article sheds new light on the informational efficiency of the cryptocurrency market by analyzing investment strategies based on structural factors related to on-chain data. The study aims to verify whether investors in the cryptocurrency market can outperform passive investment strategies...