The article discusses how measuring market efficiency is crucial in securities class action cases. The researchers developed a method to measure arbitrage risk, a measure of market efficiency, for stocks from 1988 to 2010. They found that turnover and the number of market makers affect market efficiency negatively, while serial correlation in the Capital Asset Pricing Model affects it positively. Market capitalization, bid-ask spread, and institutional ownership impact market efficiency as expected. The number of securities analysts following a stock and the public float ratio have unclear effects on market efficiency.