This is a summary of links featured on Quantocracy on Friday, 01/08/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Interest Rates, Tax-Selling, and Stock Return Seasonality [Alpha Architect]We show that interest rates drive mispricing at the turn of a tax period as investors face the trade-off between selling a temporarily-depressed stock this period and selling next period at fundamental value, but with tax implications delayed accordingly. We confi rm these patterns in US returns, volume, and individual selling behavior as well as in UK data where tax and calendar years diff er. At
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Employment Night Hot Streak Gone Cold [InvestiQuant]From August of 2012 until May of 2015 the night before the US Employment Report was a strong and consistent. Over that time period ES gapped up 76% of the time and the average employment night registered 5.00 ES points. I reported on the hot streak a number of times while it was in progress. But since then employment nights have cooled off dramatically. Below is a look at how employment nights