A Simple Measure of Price Adjustment Coefficients
提出一种利用收益率过程信息估计价格调整系数的简单方法，并用于纽约证券交易所、美国证券交易所及场外交易股票，发现所有市值类别的公司在短收益率区间内对新信息存在滞后调整，小公司调整更慢且噪声更大。
ABSTRACT One measure of market efficiency is the speed with which prices adjust to new information. We develop a simple approach to estimating these price adjustment coefficients by using the information in return processes. This approach is used to estimate the price adjustment coefficients for firms listed on the NYSE and the AMEX as well as for over‐the‐counter stocks. We find evidence of a lagged adjustment to new information in shorter return intervals for firms in all market value classes, and some support for the proposition that prices adjust much more slowly and with more noise for smaller firms.