The market speed of adjustment to new information
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TL;DR
A definition of market adjustment is proposed in terms of the time it takes market attributes to reflect new information, and a statistical method is introduced to estimate the adjustment times.
Abstract
A definition of market adjustment is proposed in terms of the time it takes market attributes to reflect new information. Properties of the proposed definition are discussed. In order to operationalize the concept, a statistical method is introduced to estimate the adjustment times. Empirical examples are used to illustrate the proposed method. Some possible economic interpretations are given. The properties of the estimator are also investigated by simulation and analytical methods.