{"title":"金融生产过程的效率及其对价格锚的依赖：印度的证据","authors":"Sayantan Kundu , Aditya Banerjee","doi":"10.1016/j.iimb.2024.02.003","DOIUrl":null,"url":null,"abstract":"<div><p>This paper measures the degree to which disclosed annual financial information assimilates into stock prices through the financial production process (FPP). Since it is established that price anchors impact investor trading decisions, the effect of proximity to chosen price anchors and the historical high and low prices on FPP efficiency is analysed for 611 Indian firms across 11 industries. Results show that a significant number of stocks are FPP inefficient, and the FPP efficiency is mean-reverting. Further, FPP efficiencies depend on proximity to price anchors, implying that FPP efficiency is a proxy measure of behavioural bias in stock prices.</p></div>","PeriodicalId":46337,"journal":{"name":"IIMB Management Review","volume":"36 1","pages":"Pages 56-70"},"PeriodicalIF":1.7000,"publicationDate":"2024-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S097038962400003X/pdfft?md5=96580f7b63a1b687b2c3923b5280ea59&pid=1-s2.0-S097038962400003X-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Efficiency of financial production process and its dependence on price anchors: Evidence from India\",\"authors\":\"Sayantan Kundu , Aditya Banerjee\",\"doi\":\"10.1016/j.iimb.2024.02.003\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This paper measures the degree to which disclosed annual financial information assimilates into stock prices through the financial production process (FPP). Since it is established that price anchors impact investor trading decisions, the effect of proximity to chosen price anchors and the historical high and low prices on FPP efficiency is analysed for 611 Indian firms across 11 industries. Results show that a significant number of stocks are FPP inefficient, and the FPP efficiency is mean-reverting. Further, FPP efficiencies depend on proximity to price anchors, implying that FPP efficiency is a proxy measure of behavioural bias in stock prices.</p></div>\",\"PeriodicalId\":46337,\"journal\":{\"name\":\"IIMB Management Review\",\"volume\":\"36 1\",\"pages\":\"Pages 56-70\"},\"PeriodicalIF\":1.7000,\"publicationDate\":\"2024-03-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S097038962400003X/pdfft?md5=96580f7b63a1b687b2c3923b5280ea59&pid=1-s2.0-S097038962400003X-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"IIMB Management Review\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S097038962400003X\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MANAGEMENT\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"IIMB Management Review","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S097038962400003X","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MANAGEMENT","Score":null,"Total":0}
Efficiency of financial production process and its dependence on price anchors: Evidence from India
This paper measures the degree to which disclosed annual financial information assimilates into stock prices through the financial production process (FPP). Since it is established that price anchors impact investor trading decisions, the effect of proximity to chosen price anchors and the historical high and low prices on FPP efficiency is analysed for 611 Indian firms across 11 industries. Results show that a significant number of stocks are FPP inefficient, and the FPP efficiency is mean-reverting. Further, FPP efficiencies depend on proximity to price anchors, implying that FPP efficiency is a proxy measure of behavioural bias in stock prices.
期刊介绍：
IIMB Management Review (IMR) is a quarterly journal brought out by the Indian Institute of Management Bangalore. Addressed to management practitioners, researchers and academics, IMR aims to engage rigorously with practices, concepts and ideas in the field of management, with an emphasis on providing managerial insights, in a reader friendly format. To this end IMR invites manuscripts that provide novel managerial insights in any of the core business functions. The manuscript should be rigorous, that is, the findings should be supported by either empirical data or a well-justified theoretical model, and well written. While these two requirements are necessary for acceptance, they do not guarantee acceptance. The sole criterion for publication is contribution to the extant management literature.Although all manuscripts are welcome, our special emphasis is on papers that focus on emerging economies throughout the world. Such papers may either improve our understanding of markets in such economies through novel analyses or build models by taking into account the special characteristics of such economies to provide guidance to managers.
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