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Sluggish news reactions: A combinatorial approach for synchronizing stock jumps

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Listed:
  • Nabil Bouamara
  • Kris Boudt
  • S'ebastien Laurent
  • Christopher J. Neely

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.

Suggested Citation

  • Nabil Bouamara & Kris Boudt & S'ebastien Laurent & Christopher J. Neely, 2023. "Sluggish news reactions: A combinatorial approach for synchronizing stock jumps," Papers 2309.15705, arXiv.org.
    • Handle: RePEc:arx:papers:2309.15705
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    References listed on IDEAS

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    1. repec:hal:journl:peer-00815564 is not listed on IDEAS
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    More about this item

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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