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，西北大学凯洛格商学院欧洲杯外围竞猜_欧洲杯盘口-投注|官网学教授

日期：2016年9月28日（周三）

时间：下午2:30-4:00

地点：清华五道口欧洲杯外围竞猜_欧洲杯盘口-投注|官网学院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.