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Y. Amihud and H. Mendelson, “Trading Mechanisms and Stock Returns: An Empirical Investigation,” Journal of Finance, Vol. 42, No. 3, 1987, pp. 533-553. doi:10.2307/2328369

has been cited by the following article:

• TITLE: Speed of Adjustment and Infraday/Intraday Volatility in the Italian Stock and Futures Markets

  AUTHORS: Pietro Gottardo

  KEYWORDS: Speed of Adjustment, Overshooting, Intraday returns, Stock Index Future

  JOURNAL NAME: Modern Economy, Vol.2 No.5, November 25, 2011

  ABSTRACT: We estimate the speed of adjustment of prices to value changes in the Italian stock and futures markets using variances in different return intervals. The paper presents evidence that an assumption of linearity for the relationship volatility-time is untenable when intraday and infraday data are used jointly. Prices adjust to new information within three days, but the process is complex with evidence of overshooting and divergent movements in the smaller return intervals. Firms behave differently according to their inclusion or exclusion from the MIB30 index. The speed of adjustment is strongly related to firm-specific characteristics and the log of capitalization explains some of the cross-sectional variability in the adjustment coefficients for most of the return intervals.