Chung, Dennis Y.; Hrazdil, Karel - In: Managerial Finance 39 (2013) April, pp. 457-475
/methodology/approach – The authors estimate the speed of convergence to market efficiency based on short-horizon return predictability from past … traditional stocks traded on Arca. In multivariate setting, the paper further shows that the speed of convergence to market … efficiency of ETFs is not only significantly driven by volume, but also by the probability of informed trading. Research …