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  • Create Date June 1, 2023
  • Last Updated June 22, 2023

Simpler Adjusted IPT

Code to calculate Adjusted Intra-Period Timeliness (IPT_Adj) as developed in my 2018 “Robo-Journalism” RAST paper with Elizabeth Blankespoor and Christina Zhu. IPT is a measure of the speed of price reaction to a disclosure within a given window. Our adjustment modifies traditional IPT measures to penalize over-reactions and reversals. See Section 4.2.2 of the paper and related Internet Appendix for further details.