On the use of the market model R-square as a measure of stock price efficiency
On the use of the market model R-square as a measure of stock price efficiency
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DOI：
10.1007/s11156-013-0410-8
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发表时间：
2015-02
影响因子：
1.7
通讯作者：
R. Bramante;Giovanni Petrella;D. Zappa
中科院分区：
文献类型：
--
作者：
R. Bramante;Giovanni Petrella;D. Zappa
市场模型的 R 方是衡量股票价格效率的一种非常流行的方法。然而，其解释远非明确。一些学者认为 R 方是效率的直接衡量标准，另一些学者则认为 R 方是效率的间接衡量标准。本文从两个方面对文献做出了贡献。首先，我们对市场模型 R 方与价格发现过程中的延迟之间的关系进行建模，其次，我们发现 R 方与延迟之间的相关性始终为负。我们得出的结论是，R 方是价格效率的直接衡量标准。
The R-square of the market model is a very popular measure of stock price efficiency. However, its interpretation is far from being unambiguous. Some scholars argue that the R-square is a direct measure of efficiency, others argue that the R-square is an indirect measure of efficiency. This paper contributes to the literature in two ways. First, we model the relationship between the market model R-square and the delay in the price discovery process and, second, we find that the correlation between R-square and delay is consistently negative. We conclude that the R-square is a direct measure of price efficiency.