What do we know about informational efficiency? Three puzzles and the new direction forward
综述了109篇关于信息效率的实证文献，从价格-成交量和现货-期货两个视角讨论市场效率如何应对实体经济不确定性，并指出三个待解争议和未来研究方向。
Abstract Informational efficiency generally indicates the prevailing market price of assets by focusing on the connection between market participants in reacting to the arrival of new information. However, several authors have suggested that uncorrelated trading strategies across markets are meant for traders who genuinely know the best. Our study aims to survey the most recent literature on informational efficiency. We examine the empirical literature on informational efficiency by discussing the findings from dual perspectives, namely price–volume and spot–futures relations. More research needs to be directed toward understanding how market efficiency responds to impending uncertainties in the real economy. By combining the findings of 109 studies from different financial markets, we discuss essential lessons from market microstructures and behavioral biases in decision‐making. Further, we identify three contentious issues yet to be explored in the literature. This study concludes by discussing a new direction for future research.