{
  "annotation_id": "ccf16ece-6052-42f5-859d-5050afabb5df",
  "date_created": "2026-02-17T05:53:20.183000Z",
  "date_modified": "2026-02-17T05:53:20.183000Z",
  "file_hash": "7b19ca05fa06e32995ad24f53560e73eba2ef4f548c2f54e1c798538ad67afb0",
  "private": false,
  "record": {
    "abstract": "Corporate earnings announcements unpack large bundles of public information that should, in efficient markets, trigger jumps in stock prices. Testing this implication is difficult in practice, as it requires noisy high-frequency data from after-hours markets, where most earnings announcements are released. Using a unique dataset and a new microstructure noise-robust jump test, we show that earnings announcements almost always induce jumps in the stock price of announcing firms. They also significantly raise the probability of price co-jumps in non-announcing firms and the market. We find that returns from a post-announcement trading strategy are consistent with efficient price formation after 2016.",
    "arxiv_id": "2601.08962",
    "authors": [
      "Kim Christensen",
      "Allan Timmermann",
      "Bezirgen Veliyev"
    ],
    "categories": [
      "econ.EM"
    ],
    "doi": "10.1016/j.jfineco.2025.104010",
    "license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
    "title": "Warp speed price moves: Jumps after earnings announcements",
    "url": "https://arxiv.org/abs/2601.08962",
    "version": "v2"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "eafc826a-6448-4af3-9eb9-db0be1d476f3",
    "id": "arXiv Dataset",
    "type": "Model",
    "variant": "snapshot-2026-01-17",
    "version": "0.1.0"
  },
  "user_id": 1000002
}