Company Events & EarningsCore researchlive in production

Merger Arbitrage

Updated dailyData needs: mediumlong only

In plain terms

When a ticker files an 8-K signaling an M&A deal, the stock drifts directionally for 1-3 months as the market re-rates it.

How it works

When a ticker files an 8-K with Item 1.01 (Entry into Material Definitive Agreement) or Item 2.01 (Completion of Acquisition or Disposition), the stock often experiences directional drift over 1-3 months as the deal plays out or the market re-rates the combined entity. We treat this as a coarse-grained M&A play (distinct from arbitrage on announced deals which needs target prices): long any ticker that filed a relevant 8-K Item for 21-63 days post-filing.

Live results

4 times picked on its own · 40 times inside a blend (33 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 40 such blended picks (33 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
SEC 8k events
Item-coded 8-K events (1.01 material agreements, 4.02 non-reliance, etc.).

Expected edge

See the source research for the original effect size; a modern replication on new data may be weaker.

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