Does relative efficiency matter? An analysis of market uncertainty

LIM, Hyoung-joo and MALI, Dafydd (2018). Does relative efficiency matter? An analysis of market uncertainty. Investment Analysts Journal, 47 (2), 127-148.

[img]
Preview
PDF
Mali-DoesRelativeEfficiencyMatter(AM).pdf - Accepted Version
All rights reserved.

Download (560kB) | Preview
[img]
Preview
PDF (Table)
Mali-DoesRelativeEfficiencyMatter(Tab).pdf - Accepted Version
All rights reserved.

Download (897kB) | Preview
[img]
Preview
PDF (Figure)
Mali-DoesRelativeEfficiencyMatter(Fig).pdf - Accepted Version
All rights reserved.

Download (161kB) | Preview
Official URL: https://www.tandfonline.com/doi/full/10.1080/10293...
Link to published version:: https://doi.org/10.1080/10293523.2018.1466491
Related URLs:

    Abstract

    In this paper, we examine whether relative efficiency provides useful information for investment decisions. We find that efficient firms have lower levels of stock price volatility compared to inefficient firms. The results suggest that market participants consider relative efficiency when making investment decisions. This finding is consistent with investors speculating in inefficient firms due to potential stock return opportunities that increase the uncertainty levels of inefficient firms. Next, we test whether higher levels of investment and disinvestment in inefficient firms are due to potential investment opportunities. We find a positive relation between stock price volatility and market returns. Moreover, we find a negative relation between stock returns and relative efficiency. These findings show that inefficient firms provide high-risk, high-return potential investment opportunities; and efficient firms can be considered low-risk, low-return investment opportunities.

    Item Type: Article
    Additional Information: ** From Crossref via Jisc Publications Router.
    Identification Number: https://doi.org/10.1080/10293523.2018.1466491
    Page Range: 127-148
    SWORD Depositor: Margaret Boot
    Depositing User: Margaret Boot
    Date Deposited: 05 Jun 2018 11:38
    Last Modified: 18 Jun 2020 17:35
    URI: http://shura.shu.ac.uk/id/eprint/21413

    Actions (login required)

    View Item View Item

    Downloads

    Downloads per month over past year

    View more statistics