Time Lag for Market Inefficiency

Question

I recalled reading a academic paper that studied how long a market exploitation took to get priced into the market.

I am trying to find that article. I remember it stating that the market priced in the exploitation on average around 30 days.

Hi user7954, welcome to Quant.SE! I removed the apology, the question seems to be on-topic to me and at least two community members ;) — Bob Jansen, Oct 02 '14 at 14:45

score 1 · Answer 1 · answered Oct 03 '14 at 03:29

By market exploitation ... not so sure if I understand what you are saying but I suggest this paper. It is on the slow information diffusion where for some portfolio of stocks it can take up to 30 days if not more for the information to get impounded into the stock prices.

score 0 · Accepted Answer · answered Jul 18 '16 at 16:05

0

Solved my own question. I was actually looking for was this. CharlesM, your answer was not bad as well. Appreciate the reply.

Does Academic Research Destroy Stock Return Predictability?

Does Academic Research Destroy Stock Return Predictability?

answered Jul 18 '16 at 16:05

Ted Taylor of Life

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Time Lag for Market Inefficiency

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