{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,26]],"date-time":"2026-09-26T16:58:41Z","timestamp":1790441921414,"version":"4.1.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>This paper examines whether differences in the speed with which traded assets respond to a common market shock can predict subsequent relative returns. The public framework combines a lagged rolling factor model with Absorption Gap (AG), which measures an asset's response error, and Shock Coherence (SC), which describes the market state on that date. SC has the same value for every asset and therefore serves only as an activation filter; it cannot change the cross-sectional ordering of securities. A signal formed after close t is executed at open t+1 and earns the return from open t+1 to open t+2. \n&lt;div&gt;\n &lt;br&gt;\n&lt;\/div&gt;\n&lt;div&gt;\n The sample contains 24 ETFs from 4 January 2010 through 28 August 2026; eight factor proxies are excluded from the 16-asset traded cross-section. The combined signal's executable next-open Rank IC is -0.00020; its separate close-to-close residual Rank IC is -0.00592 and is treated only as a mechanism diagnostic. Zero-cost gross Sharpe is 0.006 with CAGR -0.07%; at 5 bps, net Sharpe is -2.367 with CAGR -9.83%. Annualized arithmetic cost drag is approximately 10.28%. A within-date randomized-signal benchmark applied to the executable endpoint gives an empirical two-sided p-value of 0.968. The public specification therefore provides no economically viable evidence of alpha.\n&lt;\/div&gt;\n&lt;div&gt;\n &lt;br&gt;\n&lt;\/div&gt;\n&lt;div&gt;\n On the separate close-to-close mechanism endpoint, standalone one-day AG Rank IC is -0.00265 (HAC t=-0.62; 95% moving-block interval [-0.01025, 0.00539]). The difference between the AG long-short spread on high- and low-coherence dates is -3.15 basis points at one day (HAC t=-1.23), and its confidence interval includes zero. Gross results change sign across chronological segments, while all six segments lose money after 5-bps costs. Logistic regression and gradient boosting remain close to random classification. These findings reject the disclosed public specification and define the failure modes that the separate private research layer was designed to address.\n&lt;\/div&gt;<\/jats:p>","DOI":"10.2139\/ssrn.7524987","type":"posted-content","created":{"date-parts":[[2026,9,26]],"date-time":"2026-09-26T16:16:22Z","timestamp":1790439382000},"source":"Crossref","is-referenced-by-count":0,"title":["Cross-asset Shock Diffusion: A Reproducible Test of Residual Underreaction, Shock Coherence, and Trading Economics"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0007-2586-842X","authenticated-orcid":true,"given":"Alina","family":"Khaybullina","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,9,26]],"date-time":"2026-09-26T16:16:22Z","timestamp":1790439382000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7524987"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7524987","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}