For equity markets, the digital age means that information transfer and its impact on price are more important than ever. In this video, SÖHNKE M. BARTRAM explains how one goes about measuring the informational efficiency of international equity markets. Analyzing over 25,000 individual stocks from more than 36 countries, Bartram finds that the informational efficiency of global equity markets leaves much to be desired. Providing an important jumping-off point in the new nondiscretionary measure of fair value that he has developed, Bartram calls for further research to determine the most important drivers of equity returns in contemporary markets.
DOI:
https://doi.org/10.21036/LTPUB10723
Institution
Original publication
Agnostic Fundamental Analysis Works
Journal of Financial Economics
Published in 2018
Global Market Inefficiencies
SSRN Papers
Published in 2017