Working Paper
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
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 better approximate the true common jumps in related stock prices.
JEL Classification: C02; C58; G11; G14;
https://doi.org/10.20955/wp.2024.006
Access Documents
File(s):
File format is application/pdf
https://doi.org/10.20955/wp.2024.006
Description: Full text
Bibliographic Information
Provider: Federal Reserve Bank of St. Louis
Part of Series: Working Papers
Publication Date: 2024-03-26
Number: 2024-006
Related Works
- Working Paper Revision (2025-10-30) : Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
- Working Paper Original (2024-03-26) : You are here.