Writing about empirical tests of stock market efficiency, Fama et al. [2, p. 1] noted that “… the usual procedure has been to infer market efficiency from the observed independence of successive price changes. There has been very little actual testing of the speed of adjustment of prices to specific kinds of new information.”
No takes yet. Share an insight, caveat, or question.
Steve Miller (1979) studied this question.
Synapse has enriched one closely related paper. Consider it for comparative context: