Chung, Dennis Y.; Hrazdil, Karel - In: Journal of Empirical Finance 19 (2012) 5, pp. 702-720
Chordia, Roll and Subrahmanyam (2005, CRS) estimate the speed of convergence to market efficiency based on short-horizon return predictability of the 150 largest NYSE firms. We extend CRS to a broad panel of NYSE stocks and are the first to examine the relation between electronic communication...