Buy the Rumor, Sell the News: When Is News Priced In?
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 3,000 US stocks (2023-2026). A large language model teacher, distilled into a compact classifier through active learning, assigns each article one of 17 event tags and five attributes; articles are clustered into stories to separate first repor...
| Authors | Alireza Kargarzadeh, Nariman Khaledian, Navid Parvini et al. |
|---|---|
| Primary category | cs.AI |
| Published | 14 August 2026 |
| Last updated at source | 14 August 2026 |
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