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SSRNTrading, Microstructure & Execution

Buy the Rumor, Sell the News: When is News Priced in?

Analyzing 1.68 million stock-day events from 4.57 million articles, the study finds that directional price moves concentrate before and at publication day, with little incremental return later.

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Featured in No. 138 on 6 Nov 2026 · 2 days after release

Cumulative abnormal return in the news direction around publication (day 0), five event tags plus the neutral placebo
Figure 1: Cumulative abnormal return in the news direction around publication (day 0), five event tags plus the neutral placebo. Left: raw. Right: net of the background drift. Bands are ±2 date-clustered standard errors. Raw curves show the priced-in signature (the move precedes publication) and ne…
Released
4 Nov 2026
First featured
No. 138 · 6 Nov 2026
Published in
Not yet, as far as Semantic Scholar knows
Fanfare
3 of 5
Identifier
SSRN 7673798
Authors
Alireza Kargarzadeh et al.

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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