This is a summary of links featured on Quantocracy on Thursday, 10/13/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to Improve Post-Earnings Announcement Drift with NLP Analysis [Quantpedia]Postearnings-announcement drift (abbr. PEAD) is a well-researched phenomenon that describes the tendency for a stocks cumulative abnormal returns to drift in the direction of an earnings surprise for some time (several weeks or even several months) following an earnings announcement. There have been many explanations for the existence of this phenomenon. One of the most widely accepted
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$NDX Performance After 5 Down Days and a 150-Day Low [Quantifiable Edges]The two big up days to start last week have now been followed by 5 down days in a row. And the 5-day selloff has put the NDX at a new bear-market closing low. The study below looks at other times since 1990 that NDX closed down for the 5th consecutive day and at a 150-day low. NDX performance after 5 down days and a 150-day low These results suggest an upside tendency. Five days later all 11
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Sell in May and go away Just won t go away [Quant Dare]In this post we are going to revisit (check previous post) the catchy market maxim sell in May and go away. After 2 bear markets in the last 3 years and yet another red September, once again, here I am in October, wishing I had sold in May. Lets simulate the different variations of this seasonal anomaly and see how it is holding up the last 25 years. Investment Thesis The Sell in