A Simple Measure of Price Adjustment Coefficients.
Journal of Finance,
One measure of market efficiency is the speed with which prices adjust to new information. The author develops a simple approach to estimating these price adjustment coefficients by using the information in return processes. This approach is used to estimate t he price adjustment coefficients for firms listed on the NYSE and the A MEX as well as for over-the-counter stocks. The author finds evidence of a lagged adjustment to new information in shorter return intervals for firms in all market value classes and some support for the propositi on that prices adjust much more slowly and with more noise for smaller firms. Copyright 1993 by American Finance Association.