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The study investigates the boundary of marketefficiency and the diffusion mechanism in capitalmarkets. A stylized information diffusion model ispresented to describe the process by which investorsgradually assimilate the information following aninformation event. The model suggests that adiffusion process depends on both a drift and adiffusion force. If prices have converged before thedrift force disappears, the diffusion phenomenon isdifficult to observe. Otherwise, the diffusionforce dominates in the longer horizon and imposes aboundary on market efficiency. The model indicatesthat the speed of information diffusion depends oninformation content, information conductivity, andinformation shock absorption capacity. Each signalhas a different degree of information content, andeach firm has a unique information conductivity.Consequently, the information on different firmsdiffuses across investors at different rates.Several implications from this diffusion model aretested with quarterly earnings announcement data.The findings are consistent with an informationdiffusion process at work in capital markets.