Hu, Conghui; Liu, Shasha - In: Emerging Markets Finance and Trade 49 (2013) 1, pp. 17-32
Motivated by the recent debate on the implications of low <i>R</i><sup>2</sup> in the U.S. market, we conjecture that lower <i>R</i><sup>2</sup> is more likely to be associated with noise and low pricing efficiency because stock price tracks its fundamentals more loosely in a less efficient stock market such as China. We conclude...