TY  - BOOK
AU  - Bai,Jennie
AU  - Philippon,Thomas
AU  - Savov,Alexi
ED  - National Bureau of Economic Research.
TI  - Have Financial Markets Become More Informative?
T2  - NBER working paper series
PY  - 2013///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - December 2013; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w19728
UR  - http://dx.doi.org/10.3386/w19728
ER  -