The impact of market frictions and price delay on the stock returns in the French market
by Siwar Ellouz
International Journal of Managerial and Financial Accounting (IJMFA), Vol. 3, No. 4, 2011

Abstract: We explain the importance of existing frictions on the market that affect the French market stocks, using an average delay with which the price of the stock answers to information. The firms that present the most important delay of information inclusion in the prices of their stocks are generally those of small size. Their returns can be foreseeable, being based on the passed prices of the stocks and the market portfolio.

Online publication date: Sat, 29-Nov-2014

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