Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1, 2022 erstellt
Description:
We study the relation between equity market uncertainty and the informational efficiency of U.S. equity prices, proxied by the SPDR S&P 500 Trust ETF. Using the Baker, Bloom, and Davis (2016) equity market uncertainty index, we document a negative relation between market uncertainty and informational efficiency. This relation is statistically and economically significant. Our finding is robust to using a different ETF, the iShares Russell 2000 ETF, alternative informational efficiency metrics, and different uncertainty proxies. Overall, our results support the notion that equity market uncertainty is associated with a deterioration in the quality of the information environment and, thus, informationally inefficient equity prices