Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
Autor: | Bouamara, Nabil, Boudt, Kris, Laurent, Sébastien, Neely, Christopher J. |
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Rok vydání: | 2023 |
Předmět: | |
Druh dokumentu: | Working Paper |
Popis: | 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. Comment: 30 pages, 8 figures |
Databáze: | arXiv |
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