Cai, Charlie XX 
ORCID: 0000-0003-1398-3715, Keasey, Kevin, Li, Peng and Zhang, Qi
(2023)
Market Development, Information Diffusion, and the Global Anomaly Puzzle.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 58 (1).
pp. 104-147.
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Abstract
<jats:title>Abstract</jats:title><jats:p>Previous literature finds anomalies are at least as prevalent in developed markets as in emerging markets; namely, the global anomaly puzzle. We show that while market development and information diffusion are linearly related, information diffusion has a nonlinear impact on anomalies. This is consistent with theoretical developments concerning the process of information diffusion. In extremely low-efficiency regimes, without newswatchers sowing the seeds of price discovery and ensuring the long-run convergence of price to fundamentals, initial mispricing and subsequent correction will not occur. The concentration of emerging countries in low-efficiency regimes provides an explanation to the puzzle.</jats:p>
| Item Type: | Article |
|---|---|
| Additional Information: | Source info: Cai, Charlie Xiaowu and Keasey, Kevin and Li, Peng and Zhang, Qi, 2021,Market Development, Information Diffusion and the Global Anomaly Puzzle, Journal of Financial and Quantitative Analysis, Forthcoming. |
| Uncontrolled Keywords: | Asset Pricing, Anomalies, Behavioral Finance, Multi-Factor Models, International Evidence |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 01 Mar 2021 09:11 |
| Last Modified: | 22 Mar 2023 06:49 |
| DOI: | 10.1017/S0022109022000643 |
| Open Access URL: | https://papers.ssrn.com/sol3/papers.cfm?abstract_i... |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3116214 |
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