Buy the Rumor, Sell the News: When Is News Priced In?
The study tested two market sayings: news is priced in before publication, and rumors are bought while news is sold, across 4.57 million financial articles. Findings show that price moves align with news timing, markets overreact to stories and underreact to numbers, and publicity causes temporary volatility before resolution. The key takeaway for forecasting is focusing on the structure of information flow—event tags—rather than sentiment scores.