Buy the Rumor, Sell the News: When Is News Priced In?

Excerpt

arXiv:2608.14014v1 Announce Type: new Abstract: Two old market sayings hold that news is already priced in by the time it is published, and that the rumor is bought while the news is sold. Both place the price move associated with a piece of news before and at publication rather than after it. Whether the claims hold, for which kinds of news, and by how much are basic questions about how fast markets absorb public information. We test them on 4.57 million financial news articles covering roughly