November 24, 2009 - Fundamental Valuation
…investors may be able to generate substantial average abnormal returns by systematically taking short (long) positions in stocks of firms with extremely bad (good) quarterly earnings for several months after respective earnings announcements.
February 22, 2024 - Investing Expertise, Sentiment Indicators
Can ChatGPT find red flags in firm earnings calls? In their January 2024 paper entitled “Unusual Financial Communication – Evidence from ChatGPT, Earnings Calls, and the Stock Market”, Lars Beckmann, Heiner Beckmeyer, Ilias Filippou, Stefan Menze and Guofu Zhou test the ability of ChatGPT-4 Turbo to identify and analyze unusual content and tone aspects of… Keep Reading
November 29, 2007 - Economic Indicators
…stocks react to the surprise element in scheduled Federal Funds Rate announcements. There may be reliable trades in short-term continuation (reversal) of stocks after an initial spike down (up), especially for financial and information technology stocks.
February 24, 2010 - Animal Spirits, Fundamental Valuation
…evidence indicates that stock prices react somewhat predictably in direction and magnitude to specific categories of news, but general market conditions may affect the reactions.
March 14, 2024 - Equity Premium, Fundamental Valuation
Prior to 2015, we tracked performance of an equity market timing model based on real earnings yield (REY). The Simple Asset Class ETF Value Strategy (SACEVS) subsumed that model in 2015. Earnings yield is aggregate corporate earnings divided by corresponding stock index level. The REY model adjusts this earnings yield by subtracting the inflation rate… Keep Reading
August 3, 2016 - Technical Trading
Do stock returns during extended market hours (4:00PM-8:00PM and 4:00AM-9:30AM) reliably predict subsequent returns during normal market hours? In their July 2016 paper entitled “Are Extended Hours Prices Predictive of Subsequent Stock Returns?”, Shai Levi, Joshua Livnat, Li Zhang and Xiao-Jun Zhang investigate whether extended hours stock returns predict returns the next day and over subsequent longer drift intervals. They… Keep Reading
September 7, 2011 - Economic Indicators
Can traders reliably play price jumps associated with surprising economic news releases? In their September 2011 paper entitled “Information Driven Price Jumps and Trading Strategy: Evidence from Stock Index Futures”, Hong Miao, Sanjay Ramchander and Kenton Zumwalt examine the relationship between surprises in announcements for eight U.S. macroeconomic indicators and jump returns for Dow Jones Industrial Average (DJIA), NASDAQ Composite… Keep Reading
August 27, 2019 - Animal Spirits, Fundamental Valuation
How does the market react when firms announce adoption of blockchain technology? In the May 2019 draft of their paper entitled “Bitcoin Speculation or Value Creation? Corporate Blockchain Investments and Stock Market Reactions”, Don Autore, Nicholas Clarke and Danling Jiang study stock price reactions to initial public announcements of investments in blockchain technology by listed… Keep Reading
August 22, 2024 - Fundamental Valuation
Is stock price-to-earnings ratio (P/E), in aggregate or by individual stock, truly predictive of returns? In their April 2024 paper entitled “Valuing Stocks With Earnings”, Sebastian Hillenbrand and Odhrain McCarthy examine relationships between P/E and future returns at both stock index and individual stock levels. They compare generally accepted accounting principles (GAAP) earnings and an… Keep Reading
November 13, 2017 - Animal Spirits, Calendar Effects, Fundamental Valuation, Sentiment Indicators
Should investors view stock returns around recurring firm events in aggregate as an exploitable anomaly? In their October 2017 paper entitled “Recurring Firm Events and Predictable Returns: The Within-Firm Time-Series”, Samuel Hartzmark and David Solomon review the body of research on relationships between recurring firm events and future stock returns. They classify events as predictable (1) releases of information… Keep Reading