Could Someone Research This Angle

[CrushinFelt]

This "angle" has surely been researched as basically every other event study has to a significant degree. Very few trades are done at a price different from the new price after the news comes out. It is one of the basic arguments FOR market efficiency that angles like this have not been profitable.

It is of course noted that there is significant "drift" in the stock price after the jump to the new price after the event, but the trick to being able to trade on that anomoly one must be able to identify whether or not the drift will be up or down (which is to say whether the market over- or under-reacted to the news). It has been shown that taking a stand in one direction (either fading the public or riding a long) does not in fact produce an abnormal return.