Cai, CX, Keasey, K orcid.org/0000-0001-7645-3274, Li, P orcid.org/0000-0002-1570-4006 et al. (1 more author) (2023) Market Development, Information Diffusion, and the Global Anomaly Puzzle. Journal of Financial and Quantitative Analysis, 58 (1). pp. 104-147. ISSN 0022-1090
Abstract
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © The Author(s), 2022. This is an open access article under the terms of the Creative Commons Attribution License (CC-BY 4.0), which permits unrestricted use, distribution and reproduction in any medium, provided the original work is properly cited. |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 05 Jul 2021 14:35 |
Last Modified: | 24 Feb 2023 12:29 |
Status: | Published |
Publisher: | Cambridge University Press |
Identification Number: | 10.1017/S0022109022000643 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:175843 |
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