How quickly is temporary market inefficiency removed?

Ben R. Marshall

The Quarterly Review of Economics and Finance, 2009, vol. 49, issue 3, pages 917-930

Abstract: I provide evidence on the length of time it takes for arbitrageurs to exploit attractive investment opportunities. A unique data set from the Internet sports betting market allows me to focus on the speed of investor response in an environment that is not affected by the joint hypothesis problem. The market does not instantly converge to an efficient level after mispricing occurs, but the adjustment process is rapid. Arbitrageurs remove many of these opportunities within minutes of them being created and the majority are gone within an hour. Arbitrage opportunities that are more difficult to find last for longer.

Keywords: Arbitrage; Market; efficiency; Behavioral; finance (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:quaeco:v:49:y:2009:i:3:p:917-930

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