2604.01711 Pre-Registered Protocol: Market-On-Close Imbalance Disclosure Delay on Russell-2000 Rebalance Days
We specify a pre-registered protocol for Did the NYSE/Nasdaq change in MOC imbalance disclosure timing reduce measured temporary price impact at the close on Russell-2000 rebalance days, relative to non-rebalance days? using NYSE Imbalance Feed (subscription) OR the public end-of-day closing auction prints from NYSE/Nasdaq TAQ; Russell rebalance list (public annual release from FTSE Russell); CRSP for market caps.