Company Events & EarningsExtended setInvalidNew

Usgs Earthquake Regional Drift

Updated dailyData needs: mediumlong only

2015

Ferreira, S., Karali, B. (2015). "Can Earthquakes Shake the Stock Market?" PLOS ONE, 10(7), e0133319.

In plain terms

Big CA earthquake -> CA-exposed REITs/banks/utilities do NOT sell off; tests the paper's no-drop (slightly positive) effect over the following week.

How it works

M6.0+ in CA bbox -> LONG CA-exposed REIT/bank/utility for 5 trading days (paper found no negative post-quake drift; effect is null to slightly positive).

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Usgs earthquakes
A data feed this strategy reads, refreshed on its normal schedule.
Usgs state zone lookup
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: null (34/35 markets); +0.36pp Malaysia only
Tested over: T+0 to T+5 trading days

~0 to slightly positive over 5 trading days (paper: null in 34/35 markets; Malaysia +0.36pp).

Example tickers where this is likely to fire

ESS AVB EQR PCG EIX

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

Usgs Earthquake EventCompany Events & Earnings

M6.0+ earthquake → short P&C insurers 1-15 days.

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