The Speed of Incorporating Information into Prices

To determine the speed of adjusting asset prices to the latest market information, investors usually resort to semi-strong form efficiency tests. Semi-strong form efficiency is based on the assumption that stock prices adjust rapidly as a result of new public information. The objective of the event study conducted in this paper was to examine whether new information is incorporated into the share price in a single price change after its public distribution. We analyzed the price behaviour of companies listed under Category I of the Bucharest Stock Exchange around events such interim result announcements between June and November 2012.