Sluggish news reactions: A combinatorial approach for synchronizing stock jumps

Nabil Bouamara, Kris Boudt, S\'ebastien Laurent and Christopher Neely

Papers from arXiv.org

Abstract: Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. Synchronizing mistimed stock returns on a fine sampling grid allows us to automatically detect noisy jumps and better approximate the true common jumps in related stock prices.

Date: 2023-09
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http://arxiv.org/pdf/2309.15705 Latest version (application/pdf)

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Working Paper: Sluggish news reactions: A combinatorial approach for synchronizing stock jumps (2024)
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