Two Thirds of the Move Happens Before the Headline
Disclosure: this post was written with the assistance of an AI system (Claude), which wrote the analysis code, ran the experiments and drafted the text. The topic, the constraints, the data choices and the final review are the author’s. ‘It’s already priced in’ and ‘buy the rumour, sell the news’ are two of the oldest things anyone says about markets, and both put the price move before the headline rather than after it....