The Speed of Stock Price Adjustment to Market-Wide Information

14 Pages Posted: 31 May 2009

Date Written: May 30, 2009

Abstract

The speed of stock price adjustment to new information is central to market efficiency, and the price delay measure has emerged as a useful tool. This approach enables earlier studies to identify a set of factors responsible for delaying stock price adjustment to market-wide information. We argue that investor inattention and slow dissemination of information are two leading causes for underreaction, but the challenge lies at finding suitable empirical proxies to test these competing hypotheses. This paper also suggests and justifies a comparative study to assess whether the reactions to global market information vary widely across countries and why.

Keywords: informational efficiency, relative efficiency, speed of adjustment, price delay

JEL Classification: G14, G15

Suggested Citation

Lim, Kian-Ping, The Speed of Stock Price Adjustment to Market-Wide Information (May 30, 2009). Available at SSRN: https://ssrn.com/abstract=1412231 or http://dx.doi.org/10.2139/ssrn.1412231

Kian-Ping Lim (Contact Author)

Universiti Malaya ( email )

Department of Economics
Faculty of Economics and Administration
Kuala Lumpur, 50603
Malaysia

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