Slow Information Diffusion and the Persistence of Stock Return Predictability

Summary

The document identifies research on whether academic publication eliminates stock return predictability and relates it to slow information diffusion. The suggested explanation is that information may take time to become fully reflected in prices, with the discussion citing a study in which incorporation could take around a month or longer for some stock portfolios.

This offers a general market-efficiency idea: delayed price adjustment can allow return patterns to persist after information becomes available. However, the document contains no description of the paper’s data, research design, portfolios, or statistical findings. The timeframe is reported secondhand in a brief answer, and the original question concerned how quickly an exploitable market effect gets priced in. It should therefore be treated as a pointer to research and a tentative summary, not as evidence that a specific trading opportunity reliably survives for that duration.

Key ideas

• Information may diffuse into prices gradually across some stock portfolios.
• Delayed incorporation can help explain why return predictability may persist.
• The discussion points to research on academic publication and stock return predictability.
• The reported timeframe is secondhand and the document provides no study design or direct evidence.

Tags

# Time Lag for Market Inefficiency


# Time Lag for Market Inefficiency












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.

## Answer by Ted Taylor of Life (score 0, accepted)

https://quant.stackexchange.com/a/28129

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?

## Answer by CharlesM (score 1)

https://quant.stackexchange.com/a/14935

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.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.