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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.

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