메뉴 건너뛰기




Volumn 23, Issue 8, 2010, Pages 3225-3277

Do market efficiency measures yield correct inferences? A comparison of developed and emerging markets

Author keywords

[No Author keywords available]

Indexed keywords


EID: 77954970559     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhq044     Document Type: Article
Times cited : (425)

References (80)
  • 1
    • 0036117467 scopus 로고    scopus 로고
    • Partial adjustment or stale prices? Implications from stock index and futures return autocorrelations
    • Ahn, D. H., J. Boudoukh, M. P. Richardson, and R. F. Whitelaw. 2002. Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations. Review of Financial Studies 15:655-689
    • (2002) Review of Financial Studies , vol.15 , pp. 655-689
    • Ahn, D.H.1    Boudoukh, J.2    Richardson, M.P.3    Whitelaw, R.F.4
  • 5
    • 0002742759 scopus 로고
    • An empirical evaluation of accounting income numbers
    • Ball, R., and P. Brown. 1968. An Empirical Evaluation of Accounting Income Numbers. Journal of Accounting Research 6:159-178
    • (1968) Journal of Accounting Research , vol.6 , pp. 159-178
    • Ball, R.1    Brown, P.2
  • 7
    • 0034380942 scopus 로고    scopus 로고
    • Investor sophistication and patterns in stock returns after earnings announcements
    • Bartov, E., S. Radhakrishnan, and I. Krinsky. 2000. Investor Sophistication and Patterns in Stock Returns After Earnings Announcements. Accounting Review 75:43-63.
    • (2000) Accounting Review , vol.75 , pp. 43-63
    • Bartov, E.1    Radhakrishnan, S.2    Krinsky, I.3
  • 8
    • 22144448164 scopus 로고    scopus 로고
    • Earnings expectations, investor trade size, and anomalous returns around earnings announcements
    • Battalio, R. H., and R. R. Mendenhall. 2005. Earnings Expectations, Investor Trade Size, and Anomalous Returns Around Earnings Announcements. Journal of Financial Economics 77:289-319.
    • (2005) Journal of Financial Economics , vol.77 , pp. 289-319
    • Battalio, R.H.1    Mendenhall, R.R.2
  • 9
    • 12444264829 scopus 로고    scopus 로고
    • Financial and legal constraints to firm growth: Does size matter?
    • Beck, T., A. Demirguc-Kunt, and V. Maksimovic. 2005. Financial and Legal Constraints to Firm Growth: Does Size Matter? Journal of Finance 60:137-177
    • (2005) Journal of Finance , vol.60 , pp. 137-177
    • Beck, T.1    Demirguc-Kunt, A.2    Maksimovic, V.3
  • 10
    • 0036888982 scopus 로고    scopus 로고
    • Research in emerging markets finance: Looking to the future
    • Bekaert, G., and C. R. Harvey. 2002. Research in Emerging Markets Finance: Looking to the Future. Emerging Markets Review 3:429-448
    • (2002) Emerging Markets Review , vol.3 , pp. 429-448
    • Bekaert, G.1    Harvey, C.R.2
  • 11
    • 35448968712 scopus 로고    scopus 로고
    • Liquidity and expected returns: Lessons from emerging markets
    • Bekaert, G., C. R. Harvey, and C. Lundblad. 2007. Liquidity and Expected Returns: Lessons From Emerging Markets. Review of Financial Studies 20:1783-1831
    • (2007) Review of Financial Studies , vol.20 , pp. 1783-1831
    • Bekaert, G.1    Harvey, C.R.2    Lundblad, C.3
  • 13
    • 0000909526 scopus 로고
    • Evidence that stock prices do not fully reflect the implications of current earnings for future earnings
    • Bernard, V. L., and J. K. Thomas. 1990. Evidence That Stock Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings. Journal of Accounting and Economics 13:305-340
    • (1990) Journal of Accounting and Economics , vol.13 , pp. 305-340
    • Bernard, V.L.1    Thomas, J.K.2
  • 15
    • 67650826376 scopus 로고    scopus 로고
    • Institutional investors and the informational efficiency of prices
    • Boehmer, E., and E. Kelley. 2009. Institutional Investors and the Informational Efficiency of Prices. Review of Financial Studies 22:3564-3594
    • (2009) Review of Financial Studies , vol.22 , pp. 3564-3594
    • Boehmer, E.1    Kelley, E.2
  • 16
    • 0041542787 scopus 로고    scopus 로고
    • Delayed price response to the announcements of earnings and its components in Finland
    • Booth, G. G., J. P. Kallunki, and T. Martikainen. 1997. Delayed Price Response to the Announcements of Earnings and Its Components in Finland. European Accounting Review 6:377-392
    • (1997) European Accounting Review , vol.6 , pp. 377-392
    • Booth, G.G.1    Kallunki, J.P.2    Martikainen, T.3
  • 17
    • 21844499145 scopus 로고
    • A tale of three schools: Insights on autocorrelations of short-horizon stock returns
    • Boudoukh J.,M. P. Richardson, and R. F. Whitelaw. 1994. A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns. Review of Financial Studies 7:539-573
    • (1994) Review of Financial Studies , vol.7 , pp. 539-573
    • Boudoukh, J.M.1    Richardson, P.2    Whitelaw, R.F.3
  • 18
    • 0001395887 scopus 로고
    • Efficiency and inefficiency in thinly traded stock markets: Kuwait and Saudi Arabia
    • Butler, K. C., and S. J. Malaikah. 1992. Efficiency and Inefficiency in Thinly Traded Stock Markets: Kuwait and Saudi Arabia. Journal of Banking and Finance 16:197-210.
    • (1992) Journal of Banking and Finance , vol.16 , pp. 197-210
    • Butler, K.C.1    Malaikah, S.J.2
  • 19
    • 34248190280 scopus 로고    scopus 로고
    • Efficiency and the bear: Short sales and markets around the world
    • Bris, A., Goetzmann, W. N., and N. Zhu. 2007. Efficiency and the Bear: Short Sales and Markets Around the World. Journal of Finance 62:1039-1079
    • (2007) Journal of Finance , vol.62 , pp. 1039-1079
    • Bris, A.1    Goetzmann, W.N.2    Zhu, N.3
  • 21
    • 33644977645 scopus 로고    scopus 로고
    • Stock price synchronicity and analyst coverage in emerging markets
    • Chan, K., and A. Hameed. 2006. Stock Price Synchronicity and Analyst Coverage in Emerging Markets. Journal of Financial Economics 80:115-147
    • (2006) Journal of Financial Economics , vol.80 , pp. 115-147
    • Chan, K.1    Hameed, A.2
  • 24
    • 74249097754 scopus 로고    scopus 로고
    • Individualism and momentum around the world
    • Chui, A. C. W., S. Titman, and K. C. J. Wei. 2010. Individualism and Momentum Around the World. Journal of Finance 65:361-392
    • (2010) Journal of Finance , vol.65 , pp. 361-392
    • Chui, A.C.W.1    Titman, S.2    Wei, K.C.J.3
  • 26
    • 0031481785 scopus 로고    scopus 로고
    • Profitability of short-term contrarian strategies: Implications for market efficiency
    • Conrad, J. S., M. N. Gultekin, and G. Kaul. 1997. Profitability of Short-Term Contrarian Strategies: Implications for Market Efficiency. Journal of Business and Economic Statistics 15:379-386
    • (1997) Journal of Business and Economic Statistics , vol.15 , pp. 379-386
    • Conrad, J.S.1    Gultekin, M.N.2    Kaul, G.3
  • 27
    • 84993917296 scopus 로고
    • Volume and autocovariances in short-horizon individual security returns
    • Conrad, J. S., A. Hameed, and C. Niden. 1994. Volume and Autocovariances in Short-Horizon Individual Security Returns. Journal of Finance 49:1305-1329
    • (1994) Journal of Finance , vol.49 , pp. 1305-1329
    • Conrad, J.S.1    Hameed, A.2    Niden, C.3
  • 28
    • 0001148167 scopus 로고
    • Time varying expected returns
    • Conrad, J. S., and G. Kaul. 1988. Time Varying Expected Returns. Journal of Business 61:409-425
    • (1988) Journal of Business , vol.61 , pp. 409-425
    • Conrad, J.S.1    Kaul, G.2
  • 31
    • 77349123114 scopus 로고    scopus 로고
    • Transparency, price informativeness, stock return synchronicity: Theory and evidence
    • forthcoming
    • Dasgupta, S., J. Gan, and N. Gao. 2009. Transparency, Price Informativeness, Stock Return Synchronicity: Theory and Evidence. Journal of Financial and Quantitative Analysis, forthcoming.
    • (2009) Journal of Financial and Quantitative Analysis
    • Dasgupta, S.1    Gan, J.2    Gao, N.3
  • 33
    • 0000096183 scopus 로고
    • The behavior of stock prices on ldc markets
    • Errunza, V., and E. Losq. 1985. The Behavior of Stock Prices on LDC Markets. Journal of Banking and Finance 9:561-575
    • (1985) Journal of Banking and Finance , vol.9 , pp. 561-575
    • Errunza, V.1    Losq, E.2
  • 34
    • 0000480869 scopus 로고
    • Efficient capital markets: A review of theory and empirical work
    • Fama, E. F. 1970. Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance 25:383-417.
    • (1970) Journal of Finance , vol.25 , pp. 383-417
    • Fama, E.F.1
  • 35
    • 0002950772 scopus 로고
    • The multiperiod information content of accounting earnings: Confirmations and contradictions of previous earnings reports
    • Freeman, R. N., and S. Tse. 1989. The Multiperiod Information Content of Accounting Earnings: Confirmations and Contradictions of Previous Earnings Reports. Journal of Accounting Research 27:49-79.
    • (1989) Journal of Accounting Research , vol.27 , pp. 49-79
    • Freeman, R.N.1    Tse, S.2
  • 36
    • 40649103822 scopus 로고    scopus 로고
    • Do trading rules based upon winners and losers work across markets? Evidence from the pacific basin and U.S. Markets
    • Fung, H. G., W. K. Leung, and G. A. Patterson. 1999. Do Trading Rules Based Upon Winners and Losers Work Across Markets? Evidence from the Pacific Basin and U.S. Markets. Multinational Finance Journal 3:41-70.
    • (1999) Multinational Finance Journal , vol.3 , pp. 41-70
    • Fung, H.G.1    Leung, W.K.2    Patterson, G.A.3
  • 38
    • 0036296822 scopus 로고    scopus 로고
    • Are the fama and french factors global or country-specific?
    • Griffin, J. M. 2002. Are the Fama and French Factors Global or Country-Specific? Review of Financial Studies 15:783-803.
    • (2002) Review of Financial Studies , vol.15 , pp. 783-803
    • Griffin, J.M.1
  • 39
    • 0344153902 scopus 로고    scopus 로고
    • Momentum investing and business cycle risk: Evidence from pole to pole
    • Griffin, J. M., X. Ji, and J. S. Martin. 2003. Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole. Journal of Finance 58:2515-2547
    • (2003) Journal of Finance , vol.58 , pp. 2515-2547
    • Griffin, J.M.1    Ji, X.2    Martin, J.S.3
  • 40
    • 14544281458 scopus 로고    scopus 로고
    • Global momentum strategies: A portfolio perspective
    • -. 2005. Global Momentum Strategies: A Portfolio Perspective. Journal Portfolio Management Winter:23-39.
    • (2005) Journal Portfolio Management Winter , pp. 23-39
  • 41
    • 38149083302 scopus 로고    scopus 로고
    • Do investors trade more when stocks have performed well? Evidence from 46 Countries
    • Griffin, J. M., F. Nardari, and R. M. Stulz. 2007. Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries. Review of Financial Studies 20:905-951
    • (2007) Review of Financial Studies , vol.20 , pp. 905-951
    • Griffin, J.M.1    Nardari, F.2    Stulz, R.M.3
  • 42
    • 0001188867 scopus 로고
    • On the impossibility of informationally efficient markets
    • Grossman, S. J., and J. E. Stiglitz. 1980. On The Impossibility of Informationally Efficient Markets. American Economic Review 70:393-408.
    • (1980) American Economic Review , vol.70 , pp. 393-408
    • Grossman, S.J.1    Stiglitz, J.E.2
  • 43
    • 0035581626 scopus 로고    scopus 로고
    • Understanding the nature of the risks and the source of the rewards to momentum investing
    • Grundy, B. D., and J. S. Martin. 2001. Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing. Review of Financial Studies 14:29-78.
    • (2001) Review of Financial Studies , vol.14 , pp. 29-78
    • Grundy, B.D.1    Martin, J.S.2
  • 44
    • 38149035037 scopus 로고    scopus 로고
    • The long-lasting momentum in weekly returns
    • Gutierrez, R. C., and E. K. Kelley. 2007. The Long-Lasting Momentum in Weekly Returns. Journal of Finance 63:415-447
    • (2007) Journal of Finance , vol.63 , pp. 415-447
    • Gutierrez, R.C.1    Kelley, E.K.2
  • 45
    • 21844487168 scopus 로고
    • Predictable risk and returns in emerging markets
    • Harvey, C. R. 1995. Predictable Risk and Returns in Emerging Markets. Review of Financial Studies 8:773-816.
    • (1995) Review of Financial Studies , vol.8 , pp. 773-816
    • Harvey, C.R.1
  • 46
    • 3042630648 scopus 로고    scopus 로고
    • Liquidity in the futures pits: Inferring market dynamics from incomplete data
    • Hasbrouck, J. 2004. Liquidity in the Futures Pits: Inferring Market Dynamics from Incomplete Data. Journal of Financial and Quantitative Analysis 39:305-326
    • (2004) Journal of Financial and Quantitative Analysis , vol.39 , pp. 305-326
    • Hasbrouck, J.1
  • 49
    • 0042877571 scopus 로고    scopus 로고
    • Post-earnings-announcement drift: Some preliminary evidence for the U.K
    • Hew, D., L. Skerrat, N. Strong, and M. Walker. 1996. Post-Earnings- Announcement Drift: Some Preliminary Evidence for the U.K. Accounting and Business Research 26:283-293
    • (1996) Accounting and Business Research , vol.26 , pp. 283-293
    • Hew, D.1    Skerrat, L.2    Strong, N.3    Walker, M.4
  • 50
    • 24044454681 scopus 로고    scopus 로고
    • Market frictions, price delay, and the cross-section of expected returns
    • Hou, K., and T. J. Moskowitz. 2005. Market Frictions, Price Delay, and the Cross-Section of Expected Returns. Review of Financial Studies 18:981-1020.
    • (2005) Review of Financial Studies , vol.18 , pp. 981-1020
    • Hou, K.1    Moskowitz, T.J.2
  • 51
    • 33750479532 scopus 로고    scopus 로고
    • Individual equity return data from thomson datastream: Handle with Care!
    • Ince, O., and R. Porter. 2006. Individual Equity Return Data from Thomson Datastream: Handle with Care! Journal of Financial Research 29:463-479
    • (2006) Journal of Financial Research , vol.29 , pp. 463-479
    • Ince, O.1    Porter, R.2
  • 52
    • 84977718628 scopus 로고
    • Evidence of predictable behavior of security returns
    • Jegadeesh, N. 1990. Evidence of Predictable Behavior of Security Returns. Journal of Finance 45:881-898
    • (1990) Journal of Finance , vol.45 , pp. 881-898
    • Jegadeesh, N.1
  • 53
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock market efficiency
    • Jegadeesh, N., and S. Titman. 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance 48:65-91.
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 54
    • 0041075295 scopus 로고    scopus 로고
    • Profitability of momentum strategies: An evaluation of alternative explanations
    • -. 2001. Profitability of Momentum Strategies: An Evaluation of Alternative Explanations. Journal of Finance 56:699-720.
    • (2001) Journal of Finance , vol.56 , pp. 699-720
  • 55
    • 38349164188 scopus 로고    scopus 로고
    • Individual investor trading and stock returns
    • Kaniel, R, G. Saar, and S. Titman. 2008. Individual Investor Trading and Stock Returns. Journal of Finance 63:273-310.
    • (2008) Journal of Finance , vol.63 , pp. 273-310
    • Kaniel, R.1    Saar, G.2    Titman, S.3
  • 56
    • 0012613428 scopus 로고    scopus 로고
    • Are assets priced locally or globally?
    • G Constantinides, M. Harris, and R. M. Stulz (eds.) . Amsterdam, The Netherlands: Elsevier
    • Karolyi, A., and R. M. Stulz. 2003. Are Assets Priced Locally or Globally? In G. Constantinides, M. Harris, and R. M. Stulz (eds.), Handbook of the Economics of Finance. Amsterdam, The Netherlands: Elsevier.
    • (2003) Handbook of the Economics of Finance
    • Karolyi, A.1    Stulz, R.M.2
  • 59
    • 0041029369 scopus 로고    scopus 로고
    • Stock markets openings: Experience of emerging economies
    • Kim, E. H., and V. Singal. 2000. Stock Markets Openings: Experience of Emerging Economies. Journal of Business 73:25-66.
    • (2000) Journal of Business , vol.73 , pp. 25-66
    • Kim, E.H.1    Singal, V.2
  • 60
    • 84963088616 scopus 로고
    • Fads, martingales, and market efficiency
    • Lehmann, B. N. 1990. Fads, Martingales, and Market Efficiency. Quarterly Journal of Economics 105:1-28.
    • (1990) Quarterly Journal of Economics , vol.105 , pp. 1-28
    • Lehmann, B.N.1
  • 64
    • 0002484986 scopus 로고
    • Stock market prices do not follow random walks: Evidence from a simple specification test
    • Lo, A. W., and A. C. MacKinlay. 1988. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test. Review of Financial Studies 1:41-66.
    • (1988) Review of Financial Studies , vol.1 , pp. 41-66
    • Lo, A.W.1    MacKinlay, A.C.2
  • 65
    • 0000276935 scopus 로고
    • Portfolio return autocorrelation
    • Mech, T. 1993. Portfolio Return Autocorrelation. Journal of Financial Economics 34:307-344
    • (1993) Journal of Financial Economics , vol.34 , pp. 307-344
    • Mech, T.1
  • 66
    • 0000706085 scopus 로고
    • A simple positive-definite heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, W., K. West. 1987. A Simple Positive-Definite Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55:703-708
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.1    West, K.2
  • 67
    • 84963002108 scopus 로고
    • Automatic lag selection in covariance matrix estimation
    • -. 1994. Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies 61:631-653
    • (1994) Review of Economic Studies , vol.61 , pp. 631-653
  • 68
    • 8744259825 scopus 로고    scopus 로고
    • The influence of analysts, institutional investors, and insiders on the incorporation of market, industry, and firm-specific information on stock prices
    • Piotroski, J. D., and D. T. Roulstone. 2004. The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information on Stock Prices. Accounting Review 79:1119-1151
    • (2004) Accounting Review , vol.79 , pp. 1119-1151
    • Piotroski, J.D.1    Roulstone, D.T.2
  • 69
    • 0032219961 scopus 로고    scopus 로고
    • Implications of the integral approach to quarterly reporting for the post-earnings-announcement drift
    • Rangan, S., and R. G. Sloan. 1998. Implications of the Integral Approach to Quarterly Reporting for the Post-Earnings-Announcement Drift. Accounting Review 73:353-371 (Pubitemid 128182953)
    • (1998) Accounting Review , vol.73 , Issue.3 , pp. 353-371
    • Rangan, S.1    Sloan, R.G.2
  • 70
    • 84944043652 scopus 로고
    • A simple implicit measure of the effective bid-ask spread in an efficient market
    • Roll, R. 1984. A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market. Journal of Finance 39:1127-1139
    • (1984) Journal of Finance , vol.39 , pp. 1127-1139
    • Roll, R.1
  • 71
    • 84977729119 scopus 로고
    • R2
    • -. 1988. R2. Journal of Finance 43:541-566
    • (1988) Journal of Finance , vol.43 , pp. 541-566
  • 72
    • 0040165125 scopus 로고    scopus 로고
    • International momentum strategies
    • Rouwenhorst, K. G. 1998. International Momentum Strategies. Journal of Finance 53:267-284
    • (1998) Journal of Finance , vol.53 , pp. 267-284
    • Rouwenhorst, K.G.1
  • 73
    • 0012584954 scopus 로고    scopus 로고
    • Local return factors and turnover in emerging stock markets
    • -. 1999. Local Return Factors and Turnover in Emerging Stock Markets. Journal of Finance 54:1439-1464
    • (1999) Journal of Finance , vol.54 , pp. 1439-1464
  • 74
    • 0011418535 scopus 로고
    • Note on the validity of the random walk for european stock prices
    • Solnik, B. H. 1973. Note on the Validity of the Random Walk for European Stock Prices. Journal of Finance 28:1151-1159
    • (1973) Journal of Finance , vol.28 , pp. 1151-1159
    • Solnik, B.H.1
  • 75
    • 84924508526 scopus 로고
    • Does the stock market rationally reflect fundamental values?
    • Summers, L. H. 1986. Does the Stock Market Rationally Reflect Fundamental Values? Journal of Finance 41:591-601.
    • (1986) Journal of Finance , vol.41 , pp. 591-601
    • Summers, L.H.1
  • 76
    • 67649287617 scopus 로고
    • On the efficiency of the financial system
    • P. M. Jackson (ed.) . Cambridge, MA: MIT Press
    • Tobin, J. 1987. On the Efficiency of the Financial System. In P. M. Jackson (ed.), Policies for Prosperity. Cambridge, MA: MIT Press.
    • (1987) Policies for Prosperity
    • Tobin, J.1
  • 78
    • 49149087950 scopus 로고    scopus 로고
    • Semi-annual earnings announcements and market reaction: Some recent findings for a small capital market
    • Van Huffel, G., P. Joos, and H. Ooghe. 1996. Semi-Annual Earnings Announcements and Market Reaction: Some Recent Findings for a Small Capital Market. European Accounting Review 5:693-713.
    • (1996) European Accounting Review , vol.5 , pp. 693-713
    • Van Huffel, G.1    Joos, P.2    Ooghe, H.3
  • 79
    • 0000662187 scopus 로고    scopus 로고
    • Financial markets and the allocation of capital
    • Wurgler, J. 2000. Financial Markets and the Allocation of Capital. Journal of Financial Economics 58:187-214.
    • (2000) Journal of Financial Economics , vol.58 , pp. 187-214
    • Wurgler, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.