Khaybullina Alina

Cross-Asset Shock Diffusion: A Reproducible Test of Residual Underreaction, Shock Coherence, and Trading Economics

This paper examines whether differences in the speed with which traded assets respond to a common market shock can predict subsequent relative returns. The framework combines a lagged rolling factor model with Absorption Gap (AG), which measures an asset’s response error, and Shock Coherence (SC), which characterizes t...