Bai, Jennie. <br/><br/>
Have Financial Markets Become More Informative? / 
Jennie Bai, Thomas Philippon, Alexi Savov. 
 - Cambridge, Mass.  National Bureau of Economic Research  2013. 
 - 1 online resource:  illustrations (black and white); 
 - NBER working paper series  no. w19728 .
 - Working Paper Series (National Bureau of Economic Research)  no. w19728. .
<br/><br/> December 2013. 
<br/><br/> The finance industry has grown, financial markets have become more liquid, information technology has undergone a revolution. But have 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 traded options, and growth firms. Prices have also become a stronger predictor of investment and investment a stronger predictor of cash flows. These results suggest increased revelatory price efficiency. 
<br/><br/>
<br/><br/><br/>System requirements: Adobe [Acrobat] Reader required for PDF files. <br/>Mode of access: World Wide Web.