Microstructure in the Machine Age: Frictions Still Matter
This paper shows that classic market microstructure measures like VPIN, Amihud, and Roll still have predictive power—even in modern, high-frequency, machine-traded markets.
Event-Driven
Strategies reacting to corporate events like earnings, mergers, or insider activity.
Latest posts — page 2
Foreign Information Alpha: How Overseas Signals Predict Multinationals' Returns
Multinational firms' returns are predictably linked to foreign industry news from their sales regions. This paper shows that investors underreact to economically relevant information abroad.
Trading Costs Demystified: Real Costs for Institutional Traders
Unusual negative news—news that combines rare language with negative sentiment—predicts sharp increases in market volatility. This paper shows that both firm-specific and market-wide volatility rise significantly after such news, with effects that persist for months.
The FOMC Cycle: Where Stock Market Returns Really Come From
This paper shows that the **entire equity premium since 1994** is earned in just four specific weeks of the FOMC cycle: weeks 0, 2, 4, and 6. Stock returns spike after informal Fed communications and Board of Governors meetings—revealing a hidden pattern driven by central bank behavior.
Pervasive Underreaction: Trading Firm News with High-Frequency Edge
This paper finds that stocks underreact to firm-specific news—prices continue to drift in the news direction for days. A strategy based on high-frequency news returns earns over 3% per month and remains profitable after trading costs.
Attention and Underreaction: Why Some Anomalies Work Better in the Dark
This paper shows that many return anomalies—especially those tied to earnings, profitability, and momentum—perform much better when media coverage is low. Limited investor attention and short-sale constraints create predictable mispricing in these overlooked stocks.
Overpriced Winners: When Momentum Goes Too Far
Not all momentum winners are created equal. This paper shows that a subset of high-return stocks—those with low institutional ownership and rising short interest—are overpriced. These “overpriced winners” crash in the future, offering a profitable short signal.
Anomalies and News: When Mispricing Meets Information
This paper finds that stock return anomalies—long known to be profitable—perform much better on days with firm-specific news. Anomalies earn 50% higher returns on news days and over 6× more on earnings days, suggesting these effects are driven by investor misbeliefs corrected when news arrives.
Insider Trading Under the Microscope: No Stealth, Just Signal
This paper uses a unique intraday dataset to track insider trades and shows that insiders don’t try to hide their activity. They prioritize trading on returns, not timing liquidity—making their actions visible and their impact immediate.
Lazy Prices: How Investors Miss Obvious Red Flags in 10-Ks
This paper shows that simple year-over-year changes in a firm’s 10-K predict stock returns, earnings, and even bankruptcies. Investors fail to notice or react to these changes at the time of filing—creating profitable return predictability.
Mood Beta: Why Investor Emotions Create Seasonal Alpha
This paper finds that stocks more sensitive to investor mood swings—called "high mood beta" stocks—earn higher returns in good-mood periods (like Fridays and January) and lower returns in bad-mood periods (like Mondays and October). These effects are systematic, persistent, and tradable.
When Speed Fails: HFT Behavior During the Flash Crash
This paper studies how High-Frequency Traders (HFTs) and Market Makers behaved during the Flash Crash of May 6, 2010. It shows that HFTs didn’t cause the crash—but also didn’t help stabilize it. They traded fast and in the same direction as prices, while traditional market makers pulled back.