Market Frictions, Price Delay, and the Cross-Section of Expected Returns
用股价对信息的反应延迟来衡量市场摩擦的严重程度，发现延迟最大的股票有很高的额外回报，且延迟能解释部分规模效应，盈余漂移随延迟单调增加。
We parsimoniously characterize the severity of market frictions affecting a stock using the delay with which its price responds to information. The most delayed firms command a large return premium not explained by size, liquidity, or microstructure effects. Moreover, delay captures part of the size effect, idiosyncratic risk is priced only among the most delayed firms, and earnings drift is monotonically increasing in delay. Frictions associated with investor recognition appear most responsible for the delay effect. The very small segment of delayed firms, comprising only 0.02% of the market, generates substantial variation in average returns, highlighting the importance of frictions. Copyright 2005, Oxford University Press.