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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w14944 |
来源ID | Working Paper 14944 |
The Limitations of Stock Market Efficiency: Price Informativeness and CEO Turnover | |
Gary B. Gorton; Lixin Huang; Qiang Kang | |
发表日期 | 2009-05-07 |
出版年 | 2009 |
语种 | 英语 |
摘要 | Stock prices are more informative when the information has less social value. Speculators with limited resources making costly (private) information production decisions must decide to produce information about some firms and not others. We show that producing and trading on private information is most profitable in the stocks of firms with poor corporate governance -- precisely because it will not be acted upon -- and less profitable at firms with better corporate governance. To the extent that the information in the stock price is used for disciplining the CEO by the board of directors, the informed trader has a reduced incentive to produce the information in the first place. We test our model using the probability of informed trading (PIN) and the probability of forced CEO turnover in a simultaneous-equation system. The empirical results support the model predictions. Stock prices are efficient, but there is a limit to the disciplining role they can fulfill. We apply the model to evaluate the effects of the Sarbanes-Oxley Act of 2002. |
主题 | Financial Economics ; Financial Markets ; Corporate Finance |
URL | https://www.nber.org/papers/w14944 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572620 |
推荐引用方式 GB/T 7714 | Gary B. Gorton,Lixin Huang,Qiang Kang. The Limitations of Stock Market Efficiency: Price Informativeness and CEO Turnover. 2009. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w14944.pdf(595KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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