Efficiency of financial production process and its dependence on price anchors: Evidence from India

IF 1.7 Q3 MANAGEMENT

IIMB Management Review Pub Date : 2024-03-01 DOI:10.1016/j.iimb.2024.02.003

Sayantan Kundu , Aditya Banerjee

引用次数: 0

Abstract

This paper measures the degree to which disclosed annual financial information assimilates into stock prices through the financial production process (FPP). Since it is established that price anchors impact investor trading decisions, the effect of proximity to chosen price anchors and the historical high and low prices on FPP efficiency is analysed for 611 Indian firms across 11 industries. Results show that a significant number of stocks are FPP inefficient, and the FPP efficiency is mean-reverting. Further, FPP efficiencies depend on proximity to price anchors, implying that FPP efficiency is a proxy measure of behavioural bias in stock prices.

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金融生产过程的效率及其对价格锚的依赖：印度的证据

本文衡量披露的年度财务信息通过财务生产流程（FPP）与股票价格同化的程度。由于已确定价格锚会影响投资者的交易决策，因此本文分析了印度 11 个行业 611 家公司中接近所选价格锚以及历史最高价和最低价对 FPP 效率的影响。结果表明，大量股票的购买力平价效率低下，而且购买力平价效率是均值回复的。此外，购买力平价效率取决于是否接近价格锚，这意味着购买力平价效率是衡量股票价格行为偏差的替代指标。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

IIMB Management Review MANAGEMENT-

CiteScore

3.20

自引率

5.90%

发文量

审稿时长

68 days

期刊介绍： IIMB Management Review (IMR) is a quarterly journal brought out by the Indian Institute of Management Bangalore. Addressed to management practitioners, researchers and academics, IMR aims to engage rigorously with practices, concepts and ideas in the field of management, with an emphasis on providing managerial insights, in a reader friendly format. To this end IMR invites manuscripts that provide novel managerial insights in any of the core business functions. The manuscript should be rigorous, that is, the findings should be supported by either empirical data or a well-justified theoretical model, and well written. While these two requirements are necessary for acceptance, they do not guarantee acceptance. The sole criterion for publication is contribution to the extant management literature.Although all manuscripts are welcome, our special emphasis is on papers that focus on emerging economies throughout the world. Such papers may either improve our understanding of markets in such economies through novel analyses or build models by taking into account the special characteristics of such economies to provide guidance to managers.