主题：Price Discovery, Foreign Ownership, and Rule of Law
（价格发现，外资持股与法治）
主讲人：Robert A. Korajczyk，西北大学凯洛格商德州扑克大小
金融学教授
日期：2016年9月28日（周三）
时间：下午2:30-4:00
地点：德州扑克大小
金融德州扑克大小
4号楼101教室
语言：英文
摘要：
We examine the
relation between intraday price discovery and proxies for financial openness or
investor accessibility for 23 emerging markets. Our sample covers 1,504 stocks
over a period of eight months. We measure price discovery by weighted price
contribution across the trading day. We find that there is a reliable relation
between early price discovery and direct foreign ownership in the underlying
stocks after controlling for other factors. Also, we study the relation between
the quality of countries’ legal environments and the speediness of price
discovery. We find that a rule of law measure is significantly related to the
speed of price discovery. Our finding establishes a positive link between the
quality of the legal environment and efficiency of financial markets.
主讲人简介:
Robert A. Korajczyk is currently Harry G. Guthmann Professor of Finance at Kellogg School of Management in Northwestern University. He has been a member of the Kellogg School faculty since 1982 and his research interests are in the areas of investments and empirical asset pricing. He is a recipient of the 2009 Crowell Memorial Research Paper Prize awarded by PanAgora Asset Management, and the New York Stock Exchange Award for Best Paper on Equity Trading, presented at the 1993 Western Finance Association annual meetings. Professor Korajczyk is a past editor of the Review of Financial Studies and a past associate editor of the Journal of Business & Economic Statistics, Journal of Empirical Finance, and the Journal of Financial and Quantitative Analysis. He has articles published in top finance journals including the Journal of Finance, the Review of Financial Studies, the Journal of Financial Economics, and the Journal of Financial and Quantitative Analysis among others.
