 Have financial markets become more informative?Jennie Bai, Thomas Philippon () and Alexi Savov Journal of Financial Economics, 2016, vol. 122, issue 3, 625-654 Abstract: The finance industry has grown, financial markets have become more liquid, information technology has been revolutionized. But have financial market prices become more informative? We derive a welfare-based measure of price informativeness: the predicted variation of future cash flows from current market prices. Since 1960, price informativeness has increased at longer horizons (three to five years). The increase is concentrated among firms with greater institutional ownership and share turnover, firms with options trading, and growth firms. Prices have also become a stronger predictor of investment, and investment a stronger predictor of cash flows. These findings suggest increased revelatory price efficiency. Keywords: Price informativeness; Economic growth; Investment; Revelatory price efficiency; Forecasting price efficiency (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:122:y:2016:i:3:p:625-654 DOI: 10.1016/j.jfineco.2016.08.005 Access Statistics for this article Journal of Financial Economics is currently edited by G. William Schwert More articles in Journal of Financial Economics from Elsevier |
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