The median value of realized changes for surveyed firms expecting "no change" is zero. I suggest to modify the Carlson-Parkin procedure using this conditional absolute null (CAN) regularity. The adjustment solves the zero response problem and improves the variance estimates.

Efficient price setting implies that news create volatility since traders flock to the market in order to re-optimise their portfolios. In due course of the price finding process volatility should decline once the asset price approaches its new, efficient level. In this note I present evidence...