The study by Aitken,Brown,Frino and Walter (1995)into speed of adjustment following earnings announcements found that which type of stocks had the longest period of adjustment?

Question

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The study found that small stocks had the longest period of adjustment, which suggests that these stocks are less liquid and take longer to incorporate new information into their prices.

The Study by Aitken,Brown,Frino and Walter (1995)into Speed of Adjustment