The Speed of Adjustment of Prices to Private Information: Empirical Tests
We estimate speeds of adjustment of individual stock prices to private information using daily data. We use a model in which private information gives rise to return variance and private information decays linearly over time. We find that, on average, about 85 percent to 88 percent of private information is incorporated into prices within one trading day, with variation depending upon the stock's trading volume and whether the stock is listed on an exchange. The findings support strong form market efficiency.
Year of publication: |
1995
|
---|---|
Authors: | Lin, Ji-Chai ; Rozeff, Michael S |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 18.1995, 2, p. 143-56
|
Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
Saved in:
Saved in favorites
Similar items by person
-
Variance, Return, and High-Low Price Spreads
Lin, Ji-Chai, (1994)
-
Market Efficiency and Insider Trading: New Evidence.
Rozeff, Michael S, (1988)
-
The Superiority of Analyst Forecasts as Measures of Expectations: Evidence from Earnings.
Brown, Lawrence D, (1978)
- More ...