This paper finds strong support for the argument that heterogeneous adjustment costs significantly affects the speed with which a firm approaches its target capital structure. We find that firms with higher non-debt tax shields (from R&D), and cash holdings adjust faster to their target capital structure. Firms that have higher profitability, growth, information intensity, industry leverage, financial constraints, and market timing adjust slower to their target capital structure. We also find a significantly positive relation on predicted cash holdings, consistent with the argument that these firms adjust slowly because they have other predictable needs. On the other hand, firms with a lot of excess cash holdings adjust faster to their target capital structure. All the above results use an estimator that we show to be unbiased.