On the use of the market model R-square as a measure of stock price efficiency

Bramante, Riccardo; Petrella, Giovanni; Zappa, Diego

doi:10.1007/s11156-013-0410-8

Cited by 15 publications

(10 citation statements)

References 22 publications

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“…Hutton, Marcus, and Tehranian () further provide evidence that higher R 2 s are related to opaqueness, as well as a higher number of price crashes. Morck, Yeung, and Wayne () provide evidence that lower investor protection (in less developed countries) is associated with higher R 2 s. Bramante, Petrella, and Zappa () evaluate the R 2 as price efficiency.…”

Section: Increase In Price Response To Changes In Riskmentioning

confidence: 99%

Increasing return response to changes in risk

Dicle

2019

Rev Financ Econ

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Risk aversion theory is based on an individual's choice among risky assets with expected utility in its foundation. It is about investor behavior (i.e., investor choice), under normal circumstances, toward assets with various levels of risk. A positive and marginally diminishing relationship between risk and return exists. This study is about investor behavior related to their response (not choice) to risk. We present an argument and supporting evidence that investors’ return response to risk is increasing with the level of risk. Thus, investor behavior is subject to change and the level of risk is a determinant of such change. We also explain the negative time‐series correlation between risk and return.

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Section: Increase In Price Response To Changes In Riskmentioning

confidence: 99%

Increasing return response to changes in risk

Dicle

2019

Rev Financ Econ

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“…Chan and Chan (), focusing on SEO discounts, find that an increase in synchronicity reflects higher, not lower, informativeness. Bramante et al () come to a similar conclusion by examining the relation between market‐model R 2 and price delay in the US, China, and Poland using a much longer sample period than Morck et al () . Our paper complements these papers by addressing the endogeneity problem through a quasi‐natural experiment…”

Section: Introductionmentioning

confidence: 76%

“…Bramante et al () find a negative correlation between R 2 and price delay, and conclude that R 2 is a direct (i.e., positive) measure of stock price efficiency. Although their conclusion is the same as ours, their evidence is based on three countries in a cross‐sectional setting, leaving open the possibility that potentially important variables (e.g., culture) may be omitted from the analysis.…”

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confidence: 97%

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Does High Stock Return Synchronicity Indicate High or Low Price Informativeness? Evidence from a Regulatory Experiment

Kan

Gong

2017

Int Rev Finance

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We investigate the link between stock return synchronicity and price informativeness by exploiting the Regulation SHO pilot program, which removed short-selling price tests for randomly selected stocks ("pilot stocks") in May 2005. A difference-in-differences analysis reveals that relative to non-pilot stocks, pilot stocks saw a significantly larger increase in both price informativeness and return synchronicity when the pilot program started, but such difference disappeared when Regulation SHO removed the short-selling price tests for all stocks in July 2007. The results suggest that high return synchronicity reflects high, rather than low price informativeness.

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“…In order to compare the four models, two kinds of evaluation criterion are introduced: SSE and R-squared [28]. SSE denotes the quadratic sum of the errors between the fitted data and the corresponding points of the original data.…”

Section: Runway Width Design a Determination Of The Section With Largest Dispersionmentioning

confidence: 99%

Runway Width Design Based on Wheel Trace Distribution Test

et al. 2020

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The current runway width design in China was still according to the aircraft size and the accumulated experience in the flight process, and there is no clear calculation method. This paper proposed a new runway width design method based on the wheel traces distribution of the aircraft. A laser test system was developed to measure the aircraft wheel tracks of 17 cross sections along the runway at a feeder airport. The test results indicated that when aircraft takes off or lands, the transverse wheels traces obeyed a normal distribution. The variation curve in landing was selected to fit a numerical formula, which was used to calculate the maximum landing variation within the forward motion range, and the expression of the wheel trace transverse distribution on the section with the maximum discretization was determined. At last, a failure probability of 0.0001% was chosen as the criterion to determine the runway width. It was showed that B737-30 should have at least 45 m width to ensure the 0.0001 % failure probability.INDEX TERMS Runway width design, wheel trace transverse distribution, site test, change rule.

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On the use of the market model R-square as a measure of stock price efficiency

Cited by 15 publications

References 22 publications

Increasing return response to changes in risk

Increasing return response to changes in risk

Does High Stock Return Synchronicity Indicate High or Low Price Informativeness? Evidence from a Regulatory Experiment

Runway Width Design Based on Wheel Trace Distribution Test

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