The Path of Price Discovery: Real Time vs. Trade Time
Wed May 1, 2019
Shrihari Santosh, University of Colorado
November 2016, updated May 2019
Wall Street Horizon Abstract
This report shows that price discovery after an earnings announcement occurs quickly through trading, and is not based on elapsed time after the announcement. The author ﬁnds that trade time is well approximated by the accumulation of transactions, not share volume, dollar volume, or turnover. These ﬁndings challenge the traditional view that trading is not important for price discovery in response to public information.
Are you an academic interested in Wall Street Horizon data? Please contact us.
Note: While the academics listed made extensive use of Wall Street Horizon corporate events data, please note Wall Street Horizon does not sponsor academic research; all papers are conducted independently by the researchers and their teams at their respective organizations.