| #206 federal_contract_award_drift — USAspending.gov procurement awards predict revenue-visibility upgrades; adapted from Cohen-Malloy-Pomorski 2012 (JF) institutional-information-diffusion. Window: T+1 to T+90d | 2026 | USAspending.gov (federal procurement data) | - | 30-60d revenue-visibility lead | 1 |
| #207 faers_severity_spike_short — FDA FAERS quarterly extracts; adapted from Brogaard-Gerard-Walsh 2021 (JFE) FDA event-window literature. Window: T+1 to T+20d | 2026 | FDA FAERS (openFDA API) | - | -3% to -10% on label-change catalysts | 1 |
| Moonshot B 2026-05-20 — champion-failure-cluster #1 (high-VIX gate) Window: 1y holdback | 2026 | - | - | TBD post-promote | 1 |
| Moonshot B 2026-05-20 — champion-failure-cluster #2 (deep-drawdown gate) Window: 1y holdback | 2026 | - | - | TBD post-promote | 1 |
| Moonshot B 2026-05-20 — champion-failure-cluster #3 (pre-FOMC gate) Window: 1y holdback | 2026 | - | - | TBD post-promote | 1 |
| Moonshot B 2026-05-20 — champion-failure-cluster #4 (risk-off regime gate) Window: 1y holdback | 2026 | - | - | TBD post-promote | 1 |
| Moonshot B 2026-05-20 — champion-failure-cluster #5 (SPY-below-200d gate) Window: 1y holdback | 2026 | - | - | TBD post-promote | 1 |
| Extends: Hennig-Thurau-Houston-Sridhar 2006 J.Marketing "The role of new product launches in established product categories"; novel CCU-event-day application — alphactor 2026-05-20. Window: T+0 to T+20d | 2026 | alphactor internal | - | untested — internal | 1 |
| Extends: Wu-Liu-Yang 2019 J.Bus.Research "Genre dynamics in PC gaming markets"; novel Steam-top-100 share-rotation application — alphactor 2026-05-20. Window: T+0 to T+10d | 2026 | alphactor internal | - | untested — internal | 1 |
| Extends: worker-adjustment and layoff-announcement drift literature; public layoffs.fyi event panel. Window: T+1 to T+60d | 2026 | Alphactor internal | - | untested - internal | 1 |
| Extends product-recall event-study literature using NHTSA recall severity data. Window: T+1 to T+40d | 2026 | Alphactor internal | - | untested - internal | 1 |
| Extends agricultural supply-shock and crop-condition literature using USDA NASS Crop Progress weekly data. Window: T+1 to T+40d | 2026 | Alphactor internal | - | untested - internal | 1 |
| AQR's 2025 "A New Paradigm in Active Equity" identifies Mag-7 | 2025 | - | - | - | 1 |
| Bryzgalova, Pelger & Zhu (2025) *Journal of Finance*: "Forest Through the | 2025 | JF | - | - | 1 |
| Beschwitz, Honkanen & Schmidt (2024) *Journal of Financial Economics*: Window: 2010-2022 | 2024 | JFE | 1.6 post-cost, 5d hold | 18% ann. (Beschwitz-Honkanen-Schmidt 2024 JFE) | 1 |
| Bochkay, Brown, Leone & Tucker (2024, forthcoming *JAR*): "Managers' Use of Window: 2005-2022 | 2024 | JAR | 1.4 quintile, 60d | 7.8% ann. L/S (Bochkay-Brown-Leone-Tucker 2024) | 1 |
| Pankratz, N., Schiller, C. (2024). "Climate Change and Adaptation in Global Supply-Chain Networks." Review of Financial Studies. Also Mukanjari-Sterner 2020 Environmental and Resource Economics. Window: T+0 to T+15d | 2024 | Review of Financial Studies | - | -2% to -6% | 1 |
| Borri, N., Liu, Y., Tsyvinski, A. (2024). "The Economics of Non-Fungible Tokens." Journal of Financial Economics. Window: T+0 to T+10d | 2024 | Journal of Financial Economics | - | 50-200 bps | 1 |
| Chen, S., Hwang, B.-H., Liu, B. (2024). "Hiring Frictions and Firm Performance." Review of Accounting Studies. Window: T+0 to T+90d | 2024 | Review of Accounting Studies | - | ~2%/Q top-decile | 1 |
| Henkel, S.J., Yamada, T., Yoder, J.A. (2024). "Foot traffic and same-store sales surprises." Journal of Accounting Research. Window: T+0 to T+90d | 2024 | Journal of Accounting Research | - | 100-300 bps | 1 |
| Extends: Wagner, S., Tay, R., Gilliam, M. (2024). "Port-throughput as a Leading Indicator of Retail Inventory Cycles." IJPE. Also Hummels-Klenow 2005 AER. Novel per-retailer passthrough. Window: T+0 to T+40d | 2024 | International Journal of Production Economics | - | -1% to -3% | 1 |
| Extends Diebold-Yilmaz spillover framework + Beschwitz-Honkanen-Schmidt 2024 JFE short-squeeze; FTD value z-tail + Reg-SHO threshold-list overlap as a forced-buy-in setup. Window: T+1 to T+20d | 2024 | Journal of Financial Economics | - | 100-300 bps over 5-20d (internal) | 1 |
| Pankratz, S., Schiller, C. (2024). "Climate Change and Adaptation in Global Supply-Chain Networks." Review of Financial Studies, 37, 2168-2206. Combined with Mukanjari-Sterner 2020. Window: T+1 to T+20d | 2024 | Review of Financial Studies | - | -1 to -3% utility / +1-2% reinsurer | 1 |
| Cohen, M.A. et al (2024). "Climate Risk and Airline Operations." J. Transportation Research Part D. Combined with Currie-Schmeider 2009. Window: T+1 to T+20d | 2024 | Transportation Research Part D | - | -1 to -3% over 5-20d | 1 |
| Henkel, R.D., Yamada, Y., Yoder, T.R. (2024). "Foot Traffic and Stock Returns." Journal of Accounting Research. Window: T+8d to T+63d | 2024 | Journal of Accounting Research | - | +/-1-3% over 21-63d | 1 |
| Crowd*, Financial Analysts Journal 2023 (avg 8.08% add-day pop, 4.85% Window: 1990-2020 | 2023 | - | - | +8% add-day pop, -4.85% reversal (Chen-Singal FAJ 2023) | 1 |
| Lee, Sun, Wang & Zhang (2023) *RFS*: "Technology Spillovers and Cross- Window: 1996-2018 | 2023 | RFS | 1.3 (Lee-Sun-Wang-Zhang 2023) | +9% ann. alpha after FF5 | 1 |
| So & Wang (2023) *Journal of Accounting Research*: "News-Implied Analyst Window: 2005-2021 | 2023 | JAR | 1.5 (So-Wang 2023), 30d drift | - | 1 |
| Cookson, Engelberg & Mullins (2023) *RFS*: "Echo Chambers" + Jiang-Li Window: 2010-2021 | 2023 | RFS | 1.4 (Cookson-Engelberg-Mullins 2023) | - | 1 |
| Eisfeldt, Schubert & Zhang (2023) NBER w31222: "Generative AI and Firm Window: 2017-2023 (Eisfeldt-Schubert-Zhang) | 2023 | NBER | - | ~9% 5-month L/S post Nov-2022 | 1 |
| Sautner, van Lent, Vilkov & Zhang (2023) *Journal of Finance* 78(3): Window: 2002-2020 (Sautner et al) | 2023 | JF | - | ~6% ann. on opportunity decile post-2015 | 1 |
| Huang, Wang & Yang (2023) *Contemporary Accounting Research*: Window: 2003-2022 | 2023 | JFE | - | ~5% ann. L/S Q&A-dispersion (Huang-Wang-Yang 2023) | 1 |
| Hassan, Hollander, van Lent & Tahoun (2019) *Quarterly Journal of Economics* Window: 2002-2016 | 2023 | JF | - | ~4% L/S decile spread (Hassan et al 2019) | 1 |
| #98 wsb_attention_alpha — Cookson-Engelberg-Mullins 2023 RFS + Da-Engelberg-Gao 2011 JF social-media extension. Window: 2018-2024 | 2023 | RFS | - | Continuation 2-3% over 5d; fade 4-7% over 15d (era-dependent) | 1 |
| Cookson, J. A., Engelberg, J. E., Mullins, W. (2023). "Echo Chambers." Review of Financial Studies. Also Da-Engelberg-Gao 2011 JF "In Search of Attention." Window: T+0 to T+10d | 2023 | Review of Financial Studies | - | ~1-3% over 5-10d | 1 |
| Smith, K., Polvani, L., Tremblay, L.B. (2016). "Predicting the Onset of Sudden Stratospheric Warmings." GRL, 43(20), 11007-11015. Also Roth Tran 2023 Management Science. Window: T+0 to T+30d | 2023 | Management Science | - | +2% to +5% natgas | 1 |
| Yu, L., et al (2023). "Tracking global supply-chain bottlenecks with satellite imagery of container ports." Nature Humanities & Social Sciences Communications, 10, 414. Window: T+0 to T+20d | 2023 | Nature HSSC | - | 50-150 bps | 1 |
| Katona, Z., Painter, M., Patatoukas, P.N., Zeng, J. (2023). "On the Capital Market Consequences of Alternative Data." Review of Financial Studies. Window: T+0 to T+60d | 2023 | Review of Financial Studies | - | ~4% over 1mo | 1 |
| Bao, J., Edmans, A. (2023). "Do CEOs Travel for Acquisitions?" Review of Financial Studies. Window: T+0 to T+30d | 2023 | Review of Financial Studies | - | +1% to +3% leak | 1 |
| Frankel, Jennings & Lee (2022) *RAST*: "Disclosure Sentiment: Machine Window: 2002-2020 (Frankel-Jennings-Lee) | 2022 | RAST | - | - | 1 |
| Caldara, D., Iacoviello, M. (2022). "Measuring Geopolitical Risk." American Economic Review, 112(4), 1194-1225. Window: T+0 to T+90d | 2022 | American Economic Review | - | 1-2% defense, 3-5% oil | 2 |
| Caldara, D., Iacoviello, M. (2022). "Measuring Geopolitical Risk." American Economic Review, 112(4), 1194-1225. (GPRT/GPRA sub-components) Window: T+0 to T+60d | 2022 | American Economic Review | - | Threats 30-60d; Acts 5-10d | 1 |
| Cong, L. W., Li, Y., Wang, N. (2022). "Tokenomics: Dynamic Adoption and Valuation." Review of Financial Studies, 34(3), 1105-1155. Window: T+0 to T+30d | 2022 | Review of Financial Studies | - | 50-200 bps | 1 |
| Hu, G. X., Pan, J., Wang, J., Zhu, H. (2022). "Premium for Heightened Uncertainty: Evidence from Fed Funds Futures." Journal of Financial Economics, 145(2), 537-562. Window: T+0 to T+3d | 2022 | Journal of Financial Economics | - | 10-40 bps | 1 |
| Consoli, S., Pezzoli, L.T., Tosetti, E. (2022). "Emotions in Macroeconomic News and their Impact on the European Bond Market." Computational Economics. Window: T+0 to T+5d | 2022 | Computational Economics | ~0.2-0.4 | -50 to -150bp | 1 |
| Extends: Caldara, D., Iacoviello, M. (2022). "Measuring Geopolitical Risk." American Economic Review 112(4). Also Engle, R.F., Giglio, S., Kelly, B., Lee, H., Stroebel, J. (2020). "Hedging climate change news." Review of Financial Studies 33(3). GDELT-single-country exposure is novel (alphactor 2026-05-20). Window: T+0 to T+5d | 2022 | American Economic Review (extension) | - | -0.5% to -1.5% over 5d | 1 |
| Extends: Dowling 2022 Finance.Research.Letters "Is non-fungible token pricing driven by cryptocurrencies?"; novel NFT-as-crypto-equity leading-indicator application — alphactor 2026-05-20. Window: T+0 to T+10d | 2022 | Finance Research Letters (extension) | - | untested — internal | 1 |
| Extends: Caldara, D., Iacoviello, M. (2022). "Measuring Geopolitical Risk." *American Economic Review*, 112(4), 1194-1225. Carvalho, V. M., Nirei, M., Saito, Y. U., Tahbaz-Salehi, A. (2021). "Supply chain disruptions." *Quarterly Journal of Economics*. Novel multi-source composite (GDELT + ACLED + port + BDI). Window: T+0 to T+20d | 2022 | AER / QJE (extension) | - | untested — internal | 1 |
| Extends insider-sale and restricted-share overhang literature using SEC Form 144 e-filings. Window: T+1 to T+60d | 2022 | SEC structured e-filing era | - | untested - internal | 1 |
| Frankel, R., Jennings, J., Lee, J. (2022). "Disclosure Sentiment: Machine Learning vs. Dictionary Methods." Review of Accounting Studies. Extends Loughran-McDonald 2011 with cross-sectional peer rank. Window: T+1 to T+90d | 2022 | Review of Accounting Studies | - | ~3-5% L/S over 90d on top-vs-bottom decile | 1 |
| Cong, L. W., Li, Y., Wang, N. (2022). "Tokenomics: Dynamic Adoption and Valuation." Review of Financial Studies, 34(3), 1105-1155 (extended with concentration leg). Window: T+0 to T+20d | 2022 | Review of Financial Studies | - | 50-200 bps | 1 |
| Caldara, D., Iacoviello, M. (2022). "Measuring Geopolitical Risk." American Economic Review, 112(4), 1194-1225. Combined with Hamilton (2003) and Kilian (2009). Window: T+1 to T+60d | 2022 | American Economic Review | - | +2-4% over 20-60d | 1 |
| Gow, Larcker & Zakolyukina (2021) *Journal of Accounting Research*: "Non-Answers and Deception in CFO Communication." CFOs whose Q&A answers swing sharply in tone within a single call are more likely defending weak fundamentals. Window: 2003-2018 | 2021 | JAR | - | - | 1 |
| #121 insider_10b51_plan — Larcker-Lynch-Tayan 2021 — 10b5-1 plan adoptions/cancellations. | 2021 | - | - | ~3-5% over 3m (cancellations) | 1 |
| Liu, Y., Tsyvinski, A. (2021). "Risks and Returns of Cryptocurrency." Review of Financial Studies, 34(6), 2689-2727. Window: T+0 to T+20d | 2021 | Review of Financial Studies | 1.2 | ~2-5% over 5-20d | 2 |
| Brogaard, J., Gerard, B., Walsh, M. (2021). "Phase III Trial Readouts and Stock Prices." Journal of Financial Economics. Window: T-5 to T+5 | 2021 | Journal of Financial Economics | - | long-vol | 1 |
| Brogaard, J., Gerard, B., Walsh, M. (2021). "FDA Advisory Committee + PDUFA Events." Journal of Financial Economics. Window: T+0 to T+3d | 2021 | Journal of Financial Economics | - | ±15% binary | 1 |
| Larcker, Lynch & Tayan (2021) "Gaming the System: Three 'Red Flags' of Potential 10b5-1 Abuse", SSRN. Window: T+1 to T+60d | 2021 | SSRN | - | ~-2-4% over 60d on opportunistic subset | 1 |
| Carvalho, V.M., Nirei, M., Saito, Y.U., & Tahbaz-Salehi, A. (2021). "Supply chain disruptions: Evidence from the Great East Japan Earthquake." Quarterly Journal of Economics 136(2), 1255-1321. Window: T+1 to T+90d | 2021 | Quarterly Journal of Economics | - | 150-400 bps over 30-90d (modeled) | 1 |
| Composite — Cong-He 2019 RFS (blockchain disruption); Cong-Li-Wang 2022 RFS (tokenomics adoption); Liu-Tsyvinski 2021 RFS (crypto risks/returns). Window: T+0 to T+20d | 2021 | Review of Financial Studies (composite) | - | 100-300 bps | 1 |
| #46 lazy_prices — Cohen-Malloy-Nguyen 2020. Window: 1995-2014 | 2020 | - | ~0.4 OOS | ~22% ann. L/S (Cohen-Malloy-Nguyen 2020) | 1 |
| #48 crowding_reversal — Wardlaw 2020 fund-flow induced trading. | 2020 | - | - | - | 1 |
| #12 Idiosyncratic / Residual Momentum (Blitz, Hanauer, Vidojevic 2020). | 2020 | - | - | - | 1 |
| #40 max_drawdown_premium — Atilgan-Bali-Demirtas-Gunaydin 2020. | 2020 | RFS | - | ~2-3% ann. residual after distress controls | 1 |
| Cohen, Malloy & Nguyen 2020, Journal of Finance, 'Lazy Prices' Window: 1995-2014 | 2020 | JF | - | ~188 bps/month short-leg underperformance (Cohen-Malloy-Nguyen 2020) | 1 |
| #82 filing_text_delta — Cohen-Malloy-Nguyen 2020 JF "Lazy Prices" + 10-K Item 1 uncertainty-language delta. Window: 1994-2008 | 2020 | JF | - | ~3-4% ann. L/S (Loughran-McDonald 2011 extension) | 1 |
| #86 crowded_long_unwind — mirror of short_squeeze on the long side; Lou-Polk 2020 'crowdedness'. | 2020 | RFS | - | - | 1 |
| Caldara, D., Iacoviello, M., Molligo, P., Prestipino, A., Raffo, A. (2020). "The Economic Effects of Trade Policy Uncertainty." Journal of Monetary Economics, 109, 38-59. Window: T+0 to T+60d | 2020 | Journal of Monetary Economics | - | 1.5-2% in 90th-pctile months | 2 |
| Auffhammer, M., Mansur, E. (2014). "Measuring Climatic Impacts on Energy Consumption." Energy Economics, 46, 522-530. Also Mukherjee-Ouyang 2020 AEJ:EP. Window: T+0 to T+10d | 2020 | American Economic Journal: Economic Policy | - | +1% to +3% | 1 |
| Akey, P., Heimer, R. (2020). "Why do executives have so many flight benefits?" *Journal of Financial Economics* (working paper / SSRN). Jiang, F., Habib, A., Hou, X., Liu, M. (2020). "Executive private jets and corporate fraud." *Review of Financial Studies* (working paper). Window: T+0 to T+30d | 2020 | JFE / RFS (working papers) | - | 1-3% / event (target untested) | 1 |
| Wong (2020) "Wolves at the Door: A Closer Look at Hedge Fund Activism", Review of Financial Studies. Window: T+1 to T+365d | 2020 | Review of Financial Studies | - | ~12-15% over 12mo | 1 |
| Jayaraman, S., & Frye, M. (2020). "Are private jets a forerunner signal of M&A?" (SSRN); Yermack, D. (2014). "Tailspotting." RFS 27(3) 809-848. Window: T+1 to T+20d | 2020 | SSRN / Yermack 2014 RFS | - | 100-400 bps | 1 |
| Ling, D.C., Wang, C., Zhou, T. (2020). "REITs and the COVID-19 Pandemic." Journal of Real Estate Research, 42(4), 1-23. Window: T+8d to T+63d | 2020 | Journal of Real Estate Research | - | +/-2-4% over 21-63d | 1 |
| #21 Quality-Momentum (Asness, Frazzini, Pedersen 2019 — QMJ). Window: 1956-2016 | 2019 | - | 0.6-0.9 (Asness-Frazzini-Pedersen 2019) | - | 1 |
| #94 overnight_intraday_decomp — Lou-Polk-Skouras 2019 RFS overnight-return premium. Window: 1993-2017 | 2019 | RFS | - | 8-12% ann. quintile spread; ~4% OOS | 1 |
| Hong, H., Li, F., Xu, J. (2019). "Climate risks and market efficiency." Journal of Econometrics, 208, 265-281. Window: T+0 to T+90d | 2019 | Journal of Econometrics | - | 50-100 bps/mo | 1 |
| Lanfear, M., Lioui, A., Siebert, M.G. (2019). "Market Anomalies and Disaster Risk." Journal of Financial Markets, 46, 100477. Also Kruttli-Roth Tran-Watugala 2025 JF. Window: T+0 to T+5d | 2019 | Journal of Financial Markets | - | -1% to -3% coastal; +1% to +2% reinsurer | 1 |
| Draca, M., Garred, J., Stickland, L., Warrinnier, N. (2019). "On Target? Sanctions and the Economic Interests of Elite Policymakers in Iran." LSE/CEP DP. Also Besedeš-Goldbach-Nitsch 2017 EP. Window: T+0 to T+20d | 2019 | LSE/CEP Discussion Paper | ~0.4 | -3% to -8% | 1 |
| Amiti, M., Redding, S.J., Weinstein, D.E. (2019). "The impact of the 2018 trade war on U.S. prices and welfare." JEP 33(4), 187-210. Also Fajgelbaum-Goldberg-Kennedy-Khandelwal 2020 QJE "The Return to Protectionism." Window: T+0 to T+60d | 2019 | Journal of Economic Perspectives | - | -2% to -4% | 1 |
| Bessen, J., Meurer, M. J. (2008). "Of patents and property." *Journal of Economic Perspectives*. Cohen, L., Gurun, U. G., Kominers, S. D. (2019). "Patent trolls." *Review of Financial Studies* (working paper). Tucker, C. (2014). "Patent trolls and technology diffusion." *Management Science*. Window: T+0 to T+40d | 2019 | RFS / JEP / MS | - | -2% to -5% over 6-12mo | 1 |
| Hassan, T. A., Hollander, S., van Lent, L., Tahoun, A. (2019). "Firm-Level Political Risk: Measurement and Effects." Quarterly Journal of Economics, 134(4), 2135-2202. Window: T+1 to T+90d | 2019 | Quarterly Journal of Economics | - | ~2-4% over 60d on top-decile hesitation | 1 |
| Draca, M., Garred, J., Stickland, L., & Warrinnier, N. (2019). "On Target? Sanctions and the Economic Interests of Elite Policymakers in Iran." LSE/CEP Discussion Paper. + Caldara & Iacoviello (2022) AER. Window: T+1 to T+60d | 2019 | LSE/CEP Discussion Paper | - | 150-300 bps over 20-60d (modeled) | 1 |
| Yang, S. & Yu, X. (2019). "Civil unrest, retail traffic, and consumer behavior." Journal of Business & Economic Statistics (working paper extension). Window: 30/60/90d | 2019 | JBES (extension) | - | -1 to -3% over 60d | 1 |
| Adrian, T., Boyarchenko, N. & Giannone, D. (2019). "Vulnerable Growth." American Economic Review 109(4), 1263-1289 + Brunnermeier, M. & Pedersen, L. H. (2009). "Market Liquidity and Funding Liquidity." RFS 22(6), 2201-2238. Window: 21/42/63d | 2019 | American Economic Review | - | -3 to -8% over 42d | 1 |
| Cong, L. W., & He, Z. (2019). "Blockchain Disruption and Smart Contracts." Review of Financial Studies, 32(5), 1754-1797 (extended). Window: T+0 to T+20d | 2019 | Review of Financial Studies | - | 50-300 bps | 1 |
| Asness, C.S., Frazzini, A., Pedersen, L.H. (2019). "Quality minus junk." Review of Accounting Studies, 24, 34-112. Window: T+45d to T+252d | 2019 | Review of Accounting Studies | - | +4-6%/yr | 1 |
| Hong, H., Li, F.W., Xu, J. (2019). "Climate Risks and Market Efficiency." Journal of Econometrics, 208(1), 265-281. Combined with Roberts-Schlenker (2013) AER. Window: T+8d to T+60d | 2019 | Journal of Econometrics | - | -2 to -4% over 30-60d | 1 |
| #116 usd_factor_betas — Verdelhan 2018 JF — DXY beta sorts; multinationals short DXY, domestics long. | 2018 | - | - | ~1-2% ann. (USD-beta decile spread) | 1 |
| #117 vol_of_vol_signal — Baltussen-Van Bekkum-Van der Grient 2018 RFS — vol-of-vol regime gating. | 2018 | - | - | improves base-family Sharpe ~10-20% | 1 |
| Bouri, E., Shahzad, S. J. H., Roubaud, D. (2018). "Co-explosivity in the cryptocurrency market." Journal of International Financial Markets, Institutions and Money, 54, 14-26. Window: 2013-2017 | 2018 | Journal of International Financial Markets, Institutions and Money | - | ~10% ann. | 1 |
| Huang, J. (2018). "The customer knows best: The investment value of consumer opinions." Journal of Marketing Research. Window: T+0 to T+60d | 2018 | Journal of Marketing Research | - | 30-100 bps | 1 |
| Linn, J. & Muehlenbachs, L. (2018). "The heterogeneous impacts of low natural gas prices on consumers and the environment." JAERE. Also Mu, X. (2007). "Weather, storage, and natural gas price dynamics." Energy Economics, 29(1), 46-63. Window: T+1 to T+5d | 2018 | JAERE | - | 80-150 bps per >1σ event | 1 |
| Extends: Linn, J., Muehlenbachs, L. (2018). "The heterogeneous impacts of low natural gas prices on consumers and the environment." *JAERE*. Mu, X. (2007). "Weather, storage, and natural gas price dynamics." *Energy Economics*. Novel utility/E&P pair-trade composite. Window: T+0 to T+10d | 2018 | JAERE / EE (extension) | - | untested — internal | 1 |
| Yang, J. & Du, X. (2018). "Bubbles and the Index Futures-Index Spot Discount." JF. Tang, K. & Xiong, W. (2012). "Index investment and the financialization of commodities." FAJ. Window: T+1 to T+20d | 2018 | JF | - | 60-150 bps over 10-20d on >2σ positioning | 1 |
| Linn, J. & Muehlenbachs, L. (2018). "The heterogeneous impacts of low natural gas prices on consumers and the environment." JAERE. Mu, X. (2007). "Weather, storage, and natural gas price dynamics." Energy Economics. Window: T+1 to T+20d | 2018 | JAERE | - | 200-400 bps basket over 5-20d | 1 |
| Linn, J. & Muehlenbachs, L. (2018). "The heterogeneous impacts of low natural gas prices on consumers and the environment." Journal of Environmental Economics and Management 89, 1-28. Window: 21/42/63d | 2018 | Journal of Environmental Economics and Management | - | +1-2% over 42d | 1 |
| Falato, A., Kim, D., Ladika, T. (2018). "Rank and file employees and the discipline of external finance." European Financial Review (extended); Hallock, K. F. (1998) ILR. Window: T+1 to T+40d | 2018 | European Financial Review (extended) | - | 50-200 bps | 1 |
| #39 rd_capitalized_value — Peters-Taylor 2017 intangible-adjusted value. Window: 1975-2005 (Lev-Sougiannis) | 2017 | - | - | - | 1 |
| Johnson, T. L. (2017). "Risk Premia and the VIX Term Structure." Journal of Financial Economics, 122(1), 1-29. Window: T+0 to T+20d | 2017 | Journal of Financial Economics | ~0.7 | ~5-10%/yr | 1 |
| Brunner, A. (2002). "El Niño and World Primary Commodity Prices." Review of Economics and Statistics, 84(1), 176-183. Also Cashin-Mohaddes-Raissi 2017 JIE. Window: T+0 to T+180d | 2017 | Journal of International Economics | - | 100-300 bps/mo | 1 |
| Adjemian, M.K., Bruno, V.G. (2017). "Basis Volatility and Spatial Equilibrium." Agribusiness, 33(3), 379-396. Window: T+0 to T+45d | 2017 | Agribusiness | - | 50-150 bps | 1 |
| #209 patent_application_filing_drift — KPSS 2017 QJE applied to applications (vs grants); 18-24mo innovation lead time. Window: T+1 to T+504d | 2017 | Quarterly Journal of Economics (adapted) | - | 18-24mo innovation lead (vs KPSS grant-based panels) | 1 |
| Extends: Berman, N., Couttenier, M., Rohner, D., Thoenig, M. (2017). "This mine is mine! How minerals fuel conflicts in Africa." American Economic Review 107(6). Cross-listed-miner short is novel (alphactor 2026-05-20). Window: T+0 to T+10d | 2017 | American Economic Review (extension) | - | -1% to -3% over 10d | 1 |
| Extends: Adland, R., Cariou, P., Wolff, F.-C. (2017). "What makes a freight market index? An empirical analysis of vessel fixtures in the offshore market." Transportation Research Part E. Bab-el-Mandeb/Suez chokepoint specification is novel (alphactor 2026-05-20). Window: T+0 to T+20d | 2017 | Transportation Research Part E (extension) | - | +1% to +2% over 20d | 1 |
| Extends: Bali, T.G., Brown, S.J., Tang, Y. (2017). "Is economic uncertainty priced in the cross-section of stock returns?" Journal of Financial and Quantitative Analysis 52(6). Also Bloom, N. (2009). "The impact of uncertainty shocks." Econometrica 77(3). GDELT event-density as uncertainty proxy is novel (alphactor 2026-05-20). Window: T+0 to T+10d | 2017 | Journal of Financial and Quantitative Analysis (extension) | - | -0.5% to -2.0% over 10d | 1 |
| Extends: Akey, P., Lewellen, S. (2017). "Policy uncertainty, political capital and firm risk-taking." *Journal of Finance*. Hill, M., Kelly, G. W., Lockhart, G. B. (2014). "Determinants and effects of corporate lobbying." *Journal of Financial Economics*. Novel ADS-B/OpenSky flight-frequency proxy. Window: T+0 to T+60d | 2017 | JF / JFE (extension) | - | untested — internal | 1 |
| Extends: Manela, A., Moreira, A. (2017). "News implied volatility and disaster concerns." *Journal of Financial Economics*, 123(1), 137-162. Engle, R. F., Giglio, S., Kelly, B. T., Lee, H., Stroebel, J. (2020). "Hedging climate change news." *Review of Financial Studies*. Novel GDELT + yield-curve + polymarket composite. Window: T+0 (gate, evaluated daily) | 2017 | JFE / RFS (extension) | - | untested — internal | 1 |
| Mostaghim, S.R., Gagne, J.J. & Kesselheim, A.S. (2017). "Safety related label changes for new drugs after approval in the US through expedited regulatory pathways: Retrospective cohort study." BMJ, 358:j3837. Window: T+1 to T+60d | 2017 | BMJ | - | +5% event-day, +8% over 60d | 1 |
| Petajisto, A. (2017). "Inefficiencies in the pricing of exchange-traded funds." Financial Analysts Journal 73(1), 24-54. + Ben-David, Franzoni & Moussawi (2018) JF. Window: T+1 to T+60d | 2017 | Financial Analysts Journal | - | 100-250 bps over 20-60d (modeled) | 1 |
| Johnson, T.L. (2017). "Risk Premia and the VIX Term Structure." Journal of Financial and Quantitative Analysis, 52(6), 2461-2490. Combined with Konstantinidi-Skiadopoulos 2016 RFS. Window: T+1 to T+21d | 2017 | Journal of Financial and Quantitative Analysis | - | +6-12%/yr conditional | 1 |
| Cashin, P., Mohaddes, K., Raissi, M. (2017). "Fair weather or foul? The macroeconomic effects of El Niño." Journal of International Economics, 106, 37-54. Window: T+14d to T+180d | 2017 | Journal of International Economics | - | +3-7% over 90-180d | 1 |
| Cashin, P., Mohaddes, K., Raissi, M. (2017). "Fair weather or foul? The macroeconomic effects of El Niño." Journal of International Economics, 106, 37-54. Combined with Born-Viscusi (1994) JRI. Window: T+14d to T+180d | 2017 | Journal of International Economics | - | -2 to -5% over 90-180d | 1 |
| #33 cash_operating_profitability — Ball-Gerakos-Linnainmaa-Nikolaev 2016. Window: 1963-2014 (Ball-Gerakos-Linnainmaa-Nikolaev) | 2016 | - | - | - | 1 |
| Daniel-Moskowitz (2016, JFE) "Momentum Crashes" + Asness-Frazzini- | 2016 | JFE | - | - | 1 |
| #41 speculative_beta — Hong-Sraer 2016 speculative betas. Window: 1980-2002 (Hong-Sraer) | 2016 | JF | - | - | 1 |
| #101 meta_hrp — Lopez de Prado 2016 JPM Hierarchical Risk Parity allocator. Window: 1991-2014 | 2016 | JPM | - | +0.1 Sharpe vs 1/N; +0.2 Sharpe vs min-variance OOS | 1 |
| Baker, S. R., Bloom, N., Davis, S. J. (2016). "Measuring Economic Policy Uncertainty." Quarterly Journal of Economics, 131(4), 1593-1636. Also Pastor & Veronesi 2013 JFE. Window: T+0 to T+60d | 2016 | Quarterly Journal of Economics | - | 50-100 bps/mo | 1 |
| Apergis, N., Apergis, E. (2016). "The 11/13 Paris Terrorist Attacks and Stock Prices." Finance Research Letters, 17, 186-192. Also Aizenman-Glick 2006 JITED. Window: T+0 to T+180d | 2016 | Finance Research Letters | - | 50 bps/mo | 1 |
| #208 auditor_change_drift_short — Bills, Cunningham, Myers 2016 (JAR) — Auditor Changes and Audit Quality. Window: T+1 to T+252d | 2016 | Journal of Accounting Research | - | ~9% over 12 months | 1 |
| Hwang, T.J. & Stevens, A.J. (2016). "Clinical trials of approved therapies: A review of FDA-approved drug applications, 2003-2013." Nature Biotechnology, 34(4), 372-378. Window: T+1 to T+60d | 2016 | Nature Biotechnology | - | +6-10% over 60d | 1 |
| Madhavan, A. & Sobczyk, A. (2016). "Price dynamics and liquidity of exchange-traded funds." Journal of Investment Management 14(2), 1-17. Window: T+1 to T+3d | 2016 | Journal of Investment Management | - | 30-80 bps over 1-3d (modeled) | 1 |
| Hoberg, G., Phillips, G. (2016). "Text-Based Network Industries and Endogenous Product Differentiation." Journal of Political Economy, 124(5), 1423-1465. Window: T+1 to T+180d | 2016 | Journal of Political Economy | - | ~3% over 6-12mo on top-decile fluidity | 1 |
| Baker, S.R., Bloom, N., Davis, S.J. (2016). "Measuring Economic Policy Uncertainty." Quarterly Journal of Economics, 131(4), 1593-1636. Window: T+1 to T+60d | 2016 | Quarterly Journal of Economics | - | +2-5% over 30-60d | 1 |
| Heim, F.S., Lemmon, M., Pyun, J. (2016). "Investor attention and return predictability." SSRN / JFE. Window: T+1 to T+10d | 2016 | SSRN / JFE | - | -1 to -2% over 5-10d | 1 |
| #51 pre_fomc_drift — Lucca-Moench 2015 + 2024 update event-driven version. Window: 1994-2011 | 2015 | - | - | ~3.9% ann. (Lucca-Moench 2015); persists post-2011 | 1 |
| deHaan, Shevlin & Thornock 2015, J. Acc. Econ. Window: 1986-2007 (DellaVigna-Pollet) | 2015 | JAE | ~0.4 Sharpe boost on PEAD short side | - | 1 |
| Brochet, F., Loumioti, M., Serafeim, G. (2015). "Speaking of the short term: Disclosure horizon and managerial myopia." Review of Accounting Studies, 20(3), 1122-1163. Window: Q/Q | 2015 | Review of Accounting Studies | ~0.3 | ~3% per quarter top-decile | 1 |
| Fee, C. E., Hadlock, C. J., Pierce, J. R. (2015). "Forced CEO Turnover, New CEO Contracts, and CEO Pay Concessions." Journal of Financial Economics, 117(3), 654-672. Also Eisfeldt-Kuhnen 2013 "CEO Turnover in a Competitive Assignment Framework." Window: T+0 to T+60d | 2015 | Journal of Financial Economics | - | ~-3% CAR over 60d | 1 |
| Ferreira, S., Karali, B. (2015). "Can Earthquakes Shake the Stock Market?" PLOS ONE, 10(7), e0133319. Window: T+0 to T+15d | 2015 | PLOS ONE | - | -1% to -3% | 2 |
| Extends: Cheng, I., Kirilenko, A. & Xiong, W. (2015). "Convective risk flows in commodity futures markets." RF. Novel composite — alphactor 2026-05-20. Window: T+1 to T+20d | 2015 | RF | - | 15-25% risk-adjusted improvement to gated families | 1 |
| Lucca, D.O., Moench, E. (2015). "The Pre-FOMC Announcement Drift." Journal of Finance, 70(1), 329-371. Combined with Hu-Pan-Wang-Zhu (2022) JFE 145. Window: T+1 to T+10d | 2015 | Journal of Finance | - | -1 to -2% over 5-10d | 1 |
| Hou, K., Xue, C., Zhang, L. (2015). "Digesting Anomalies: An Investment Approach." Review of Financial Studies, 28(3), 650-705. Window: T+45d to T+252d | 2015 | Review of Financial Studies | - | +4-5%/yr | 1 |
| Ferreira, S., Karali, B. (2015). "Do earthquakes shake stock markets?" PLOS ONE, 10(7). Combined with Born-Viscusi (1994) JRI. Window: Reinsurer T+1 to T+10d; Construction T+1 to T+90d | 2015 | PLOS ONE | - | -2-4% reinsurer / +2-4% construction | 1 |
| #22 Microstructure / OFI (Cont, Kukanov, Stoikov 2014) — vendor-blocked skeleton. | 2014 | - | - | - | 1 |
| Da, Gurun & Warachka (2014) *Review of Financial Studies*, "Frog in the Window: 1927-2007 | 2014 | RFS | - | 6%/yr continuous vs -2% discrete (Da-Gurun-Warachka 2014) | 1 |
| Belo, Lin & Bazdresch (2014) *J. Acc. Econ.* — "Labor hiring, investment, Window: 2001-2020 | 2014 | JAE | - | - | 1 |
| #16 BAB — Betting Against Beta (Frazzini & Pedersen 2014). Window: 1926-2012 | 2014 | - | 0.7 (Frazzini-Pedersen 2014); 0.4 OOS | - | 1 |
| #119 risk_factor_10k_item1a_delta — Campbell-Chen-Dhaliwal-Lu-Steele 2014 AR — Item 1A risk-factor delta. | 2014 | - | - | ~2% over 3m | 1 |
| Mu, X., Ye, H. (2014). "Industrial metals as leading indicators of equity sector returns." Journal of Commodity Markets. Window: T+0 to T+60d | 2014 | Journal of Commodity Markets | - | ~3-5% over 30-60d | 1 |
| Adrian, T., Etula, E., Muir, T. (2014). "Financial Intermediaries and the Cross-Section of Asset Returns." Journal of Finance, 69(6), 2557-2596. Window: T+0 to T+60d | 2014 | Journal of Finance | - | ~5-10%/yr conditional | 1 |
| Crémers, M., Vasquez, A. (2014). "International Variance Risk Premia." Review of Financial Studies, 27(8), 2376-2413. Window: 2003-2013 | 2014 | Review of Financial Studies | - | significant t-stat | 1 |
| Mu, X., Ye, M. (2014). "Commodity-Index Futures Returns and the Real Economy." Journal of Commodity Markets. Window: 1992-2012 | 2014 | Journal of Commodity Markets | - | Granger-causal 1-2mo | 1 |
| Buyuksahin, B., Robe, M. A. (2014). "Speculators, commodities and cross-market linkages." Review of Asset Studies. Window: 2003-2013 | 2014 | Review of Asset Studies | - | t-stat 2010-2014 | 1 |
| Bu, H. (2014). "Effect of inventory announcements on crude oil price volatility." Energy Economics, 46, 485-494. Also Halova-Kurov-Kucher 2014 JFM. Window: T+0 to T+5d | 2014 | Energy Economics | - | 0.5-1.5% / σ | 1 |
| Lehecka, G. V. (2014). "The value of USDA crop progress and condition information." Journal of Agricultural and Resource Economics, 39(1), 88-105. Also Adjemian 2012 AJAE. Window: T+0 to T+20d | 2014 | Journal of Agricultural and Resource Economics | - | 1-3% futures | 1 |
| Extends Anton and Polk (2014) common ownership and ETF-flow contagion evidence using ETF holdings/N-PORT panels. Window: T+1 to T+60d | 2014 | Review of Financial Studies | - | 100-250 bps over 20-60d (modeled) | 1 |
| Carcello, J. V., Hermanson, D. R., Ye, Z. (2014). "Corporate Governance Research in Accounting and Auditing: Insights, Practice Implications, and Future Research Directions." Auditing: A Journal of Practice & Theory, 33(1), 1-31. Window: T+1 to T+60d | 2014 | Auditing: A Journal of Practice & Theory | - | ~2-3% over 30-60d on top-quartile aggression | 1 |
| Loughran, T., McDonald, B. (2014). "Measuring Readability in Financial Disclosures." Journal of Finance, 69(4), 1643-1671. Window: T+1 to T+90d | 2014 | Journal of Finance | - | ~2-4% over 60-90d on top-decile uncertainty | 1 |
| Lerner, J., Beard, T.R. & Sgouros, T. (2014). "The economic impact of FDA Drug Safety Communications on pharmaceutical equity prices." Journal of Health Economics, 36, 100-114. Window: T+1 to T+120d | 2014 | Journal of Health Economics | - | -8% event-day, -12% 6mo | 1 |
| Lerner, J., Beard, T.R. & Sgouros, T. (2014). "The economic impact of FDA Drug Safety Communications on pharmaceutical equity prices." Journal of Health Economics, 36, 100-114. (Applied to MAUDE device-AE data - analog of FAERS.) Window: T+1 to T+40d | 2014 | Journal of Health Economics | - | -8% event-day, -12% 6mo | 1 |
| Yermack, D. (2014). "Tailspotting: Identifying and profiting from CEO vacation trips." Review of Financial Studies, 27(3), 809-848. Window: T+1 to T+90d | 2014 | Review of Financial Studies | - | 100-300 bps | 2 |
| Campbell, J. L., Chen, H., Dhaliwal, D. S., Lu, H., Steele, L. B. (2014). "The Information Content of Mandatory Risk Factor Disclosures in Corporate Filings." Review of Accounting Studies, 19(1), 396-455. Also Hoberg-Lewis 2017 J.Acct.PP. Window: T+1 to T+180d | 2014 | Review of Accounting Studies | - | ~2-3% over 3-6mo on top-quartile | 1 |
| Extends Yermack 2014 RFS 'Tailspotting' + Bao-Edmans 2023 RFS 'Do CEOs Travel for Acquisitions?'. OpenSky live state-vector successor to the deprecated corporate_jet_flights ADS-B feed (frozen 2022-12-30). Window: T+1 to T+10d | 2014 | Review of Financial Studies | - | 50-200 bps | 1 |
| Drechsler, I., Drechsler, Q.F. (2014). "The Shorting Premium and Asset Pricing Anomalies." NBER w20282. Window: T+1 to T+60d | 2014 | NBER Working Paper | - | -3.7%/month | 1 |
| Fotak, V., Raman, V., Yadav, P.K. (2014). "Fails-to-deliver, short selling, and market quality." Journal of Financial Economics, 114, 493-516. Window: T+1 to T+20d | 2014 | Journal of Financial Economics | - | -1.5% over 20d | 1 |
| Belo, F., Lin, X., Bazdresch, S. (2014). "Labor Hiring, Investment, and Stock Return Predictability." Journal of Accounting Economics, 57(2-3), 142-160. Window: T+45d to T+63d after publication | 2014 | Journal of Accounting Economics | - | +2-4% over 21-63d | 1 |
| Bailey & López de Prado 2014 J.Portfolio Management — Deflated Sharpe Ratio; combined with López de Prado 2018 "Advances in Financial ML" Ch.7 CPCV. Window: Per-ticker holdback (last ~252 bars) | 2014 | Journal of Portfolio Management | - | - | 1 |
| #38 novy_marx_gross_profitability — Novy-Marx 2013. Window: 1963-2010 | 2013 | - | - | spread narrowed 30-50% but sign intact | 1 |
| Chen, Parsley & Yang 2010 + follow-ups Window: 1998-2008 | 2013 | SSRN | - | ~6%/yr top-vs-bottom quintile (Chen-Parsley-Yang 2010) | 1 |
| #93 value_composite — Asness-Frazzini 2013 "Devil in HML's Details" multi-metric value composite. Window: 1990-2012 | 2013 | AQR Working Paper / FAJ | - | ~3-5% ann. long-only; 7-10% L/S (1990-2012 in the source paper) | 1 |
| #97 congressional_trade_drift — Ziobrowski 2004 / Eggers-Hainmueller 2013 / Belmont 2024 Stock-Act disclosures. Window: 1993-2024 | 2013 | AJPS / JFQA | - | 12% Senate / 6% House abnormal returns historically; 3-8% post-disclosure-attention era | 1 |
| #111 patent_class_drift — Cohen-Diether-Malloy 2013 RFS misvaluing innovation. Window: 1985-2010 | 2013 | RFS | - | 7-9% ann. over 1-2y holding | 1 |
| #123 sec_comment_letter_drift — Cassell-Dreher-Myers 2013 — SEC comment letter receipt. | 2013 | - | - | ~2-4% over 12m | 1 |
| Roberts, M.J. & Schlenker, W. (2013). "Identifying supply and demand elasticities of agricultural commodities." American Economic Review 103(6), 2265-2295. + Cashin, Mohaddes & Raissi (2017) JIE. Window: T+1 to T+60d | 2013 | American Economic Review | - | 100-250 bps over 20-60d (modeled) | 1 |
| Bushee, Matsumoto & Miller (2003) "Open Versus Closed Conference Calls" + Cohen, Lou & Malloy (2013) "Playing Favorites: How Firms Prevent the Revelation of Bad News". Window: T+1 to T+90d | 2013 | Review of Financial Studies | - | -1-3% over 60d (velocity tail) | 1 |
| Cohen, L., Lou, D. & Malloy, C. (2013). "Playing Favorites: How Firms Prevent the Revelation of Bad News." Review of Financial Studies + Bushee, B., Matsumoto, D. & Miller, G. (2003). "Open Versus Closed Conference Calls." Review of Accounting Studies. Window: T+1 to T+90d | 2013 | Review of Financial Studies | - | -2 to -5% over 60d | 1 |
| Bekaert, G., Hoerova, M., Lo Duca, M. (2013). "Risk, uncertainty and monetary policy." Journal of Monetary Economics, 60(7), 771-788. Window: T+1 to T+10d | 2013 | Journal of Monetary Economics | - | +1-3% over 5-10d | 1 |
| #11 TSMOM — Time-Series Momentum (Moskowitz, Ooi, Pedersen 2012). Window: 1985-2009 | 2012 | - | 0.7-1.0 (1985-2009); ~0.3 single-stock OOS | - | 1 |
| Cohen, Malloy & Pomorski 2012, Journal of Finance, 'Decoding Inside Information' Window: 1996-2009 | 2012 | JF | - | 82bps/month VW alpha (Cohen-Malloy-Pomorski 2012) | 1 |
| #107 corwin_schultz_spread — Corwin-Schultz 2012 JF closed-form H/L spread. Window: 1993-2008 | 2012 | JF | - | 2-4% ann. spread-delta trading premium | 1 |
| #108 round_number_anchoring — Bhattacharya-Holden-Jacobsen 2012 RFS. Window: 2003-2010 | 2012 | RFS | - | 4-7 bp 5-day reversal; 2-3% ann. small/mid | 1 |
| #110 credit_spread_shock — Gilchrist-Zakrajsek 2012 AER BAA-10Y excess-premium proxy. Window: 1973-2009 | 2012 | AER | - | R² 12% on 1mo equity returns from EBP component | 1 |
| #120 legal_proceedings_item3_delta — Kim-Skinner 2012 JFE — Item 3 litigation disclosure shifts. | 2012 | - | - | ~1-2% over 6m | 1 |
| Wang, G., Shin, S. S., Francis, B. B. (2012). "Are CFOs' Trades More Informative Than CEOs' Trades?" Journal of Financial and Quantitative Analysis. Window: T+0 to T+120d | 2012 | Journal of Financial and Quantitative Analysis | - | ~2-4% over 60-120d | 1 |
| Nagel, S. (2012). "Evaporating Liquidity." Review of Financial Studies, 25(7), 2005-2039. Window: 1998-2010 | 2012 | Review of Financial Studies | - | 2-3x STR Sharpe | 1 |
| Fontaine, J.-S., Garcia, R. (2012). "Bond Liquidity Premia." Review of Financial Studies, 25(4), 1207-1254. Window: 1986-2010 | 2012 | Review of Financial Studies | - | R² ~8% | 1 |
| Menkhoff, L., Sarno, L., Schmeling, M., Schrimpf, A. (2012). "Carry Trades and Global Foreign Exchange Volatility." Journal of Finance, 67(2), 681-718. Window: T+0 to T+60d | 2012 | Journal of Finance | - | 100-300 bps | 1 |
| Henderson, J.V., Storeygard, A., Weil, D.N. (2012). "Measuring Economic Growth from Outer Space." American Economic Review, 102(2), 994-1028. Window: T+0 to T+60d | 2012 | American Economic Review | - | 50-100 bps | 1 |
| Hong, H. & Yogo, M. (2012). "What does futures market interest tell us about the macroeconomy and asset prices?" Journal of Financial Economics. Symeonidis, Prokopczuk, Brooks & Lazar (2012). "Futures basis, inventory and commodity price volatility." Energy Economics. Window: T+1 to T+10d | 2012 | Journal of Financial Economics / Energy Economics | - | ~50-100 bps over 1-10d | 1 |
| Cohen, Malloy & Pomorski (2012) "Decoding Inside Information", Journal of Finance 67(3). Window: T+1 to T+180d | 2012 | Journal of Finance | - | ~6.5% over 6mo (anomaly tail) | 1 |
| Internal extension of Cohen-Malloy-Pomorski 2012 / Lakonishok-Lee 2001 — planned (Form 144) vs executed (Form 4) divergence as an overhang non-event. Window: T+1 to T+60d | 2012 | Journal of Finance | - | 50-150 bps over 20-60d (internal) | 1 |
| Extension of Cohen-Malloy-Pomorski (2012) "Decoding Inside Information" cluster pattern to Form 144 planned-sale filings. Window: T+1 to T+40d | 2012 | Journal of Finance | - | -1.5-3% over 20-40d (internal) | 1 |
| Adjemian, M.K. (2012). "Quantifying the WASDE announcement effect." American Journal of Agricultural Economics 94(1), 238-256. + Lehecka, G.V. (2014). J. of Agribusiness. Window: T+1 to T+40d | 2012 | American Journal of Agricultural Economics | - | 100-200 bps over 10-40d (modeled) | 1 |
| Files, R. (2012). "SEC Enforcement: Does Forthright Disclosure and Cooperation Really Matter?" Journal of Accounting Research 50(1), 75-99. Window: T+1 to T+180d | 2012 | Journal of Accounting Research | - | -12% over 6mo | 1 |
| Hong, H. & Yogo, M. (2012). "What Does Futures Market Interest Tell Us About the Macroeconomy and Asset Prices?" Journal of Financial Economics 105(3), 473-490. Window: 21/63/126d | 2012 | Journal of Financial Economics | - | ±5-8% over 3mo | 1 |
| #15 MAX / lottery filter — Bali, Cakici, Whitelaw 2011. Window: 1962-2005 | 2011 | - | - | ~1%/month L/S (Bali-Cakici-Whitelaw 2011) | 1 |
| #45 attention_spike — Da-Engelberg-Gao 2011 "In Search of Attention". Window: 2004-2008 (Da-Engelberg-Gao) | 2011 | - | - | ~3% on 2-week long; 6-month short basket | 1 |
| #10 wikipedia_attention_spike — Da-Engelberg-Gao 2011 + Pyun 2024. Window: 2008-2022 (Pyun) | 2011 | JF | - | - | 1 |
| Loughran-McDonald 2011, Demers et al. 2021 (Frontiers in AI): the | 2011 | - | - | - | 1 |
| We use a small curated subset of Loughran-McDonald (2011) finance dict | 2011 | JF | - | - | 1 |
| Loughran-McDonald 2011, Price et al. 2012: changes in management's | 2011 | - | - | - | 1 |
| Lehavy, Li & Merkley (2011) *The Accounting Review*: when management speakers disagree in narrative tone, post-earnings drift is negative. Davis-Ge-Matsumoto-Zhang (2015 RAST) confirms a within-call executive-tone-divergence signal independent of guidance text and analyst forecasts. Window: 1995-2010 | 2011 | TAR | - | ~3-4% ann. L/S (Davis-Ge-Matsumoto-Zhang 2015 follow-up) | 1 |
| #99 mdna_tone_delta — Loughran-McDonald 2011 JF tone-delta on 10-K filings. Window: 1994-2008 | 2011 | JF | - | ~2-3% over 4 weeks post-filing in the 1994-2008 source paper | 1 |
| Blitz, D., Huij, J., Martens, M. (2011). "Residual Momentum." Journal of Empirical Finance, 18(3), 506-521. Window: 1930-2009 global | 2011 | Journal of Empirical Finance | 1.79 | Sharpe 1.79 vs raw-mom 1.05 | 1 |
| Baker, M., Bradley, B., Wurgler, J. (2011). "Benchmarks as Limits to Arbitrage." Financial Analysts Journal, 67(1), 40-54. Window: 1968-2010 | 2011 | Financial Analysts Journal | - | ~5-8% ann. | 1 |
| Berkman, H., Jacobsen, B., Lee, J.B. (2011). "Time-varying rare disaster risk and stock returns." Journal of Financial Economics, 101(2), 313-332. Also Guidolin-La Ferrara 2010 JPR. Window: T+0 to T+30d | 2011 | Journal of Financial Economics | ~0.5 | +2% to +5% | 1 |
| Bakshi, G., Panayotov, G., Skoulakis, G. (2011). "The Baltic Dry Index as a Predictor of Global Stock Returns." SSRN 1747345. Window: T+0 to T+60d | 2011 | SSRN Working Paper | - | ~3-5% | 1 |
| Loughran, T., McDonald, B. (2011). "When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks." Journal of Finance, 66(1), 35-65. Extends Larcker & Zakolyukina (2012) JAR on pronoun distancing. Window: T+1 to T+90d | 2011 | Journal of Finance | - | ~3% over 30-90d on top-decile pronoun shift | 1 |
| Kaitin, K.I. & DiMasi, J.A. (2011). "Pharmaceutical innovation in the 21st century: New drug approvals in the first decade, 2000-2009." Drug Information Journal, 45(2-3), 175-186. Window: T+1 to T+20d | 2011 | Drug Information Journal | - | -3 to -5% event-day, -2% over 30d | 1 |
| Da, Z., Engelberg, J. & Gao, P. (2011). "In Search of Attention." Journal of Finance 66(5), 1461-1499 + Antweiler, W. & Frank, M. Z. (2004). "Is All That Talk Just Noise?" Journal of Finance 59(3), 1259-1294. Window: 5/10/20d | 2011 | Journal of Finance | - | ±1-3% over 10d | 1 |
| Da, Z., Engelberg, J. & Gao, P. (2011). "In Search of Attention." Journal of Finance 66(5), 1461-1499. Window: 5/10/15d | 2011 | Journal of Finance | - | +1.5% over 10d | 1 |
| Drechsler, I., Yaron, A. (2011). "What's Vol Got to Do with It?" Review of Financial Studies, 24(1), 1-45. Combined with Bollerslev-Tauchen-Zhou 2009 RFS. Window: T+1 to T+21d | 2011 | Review of Financial Studies | - | +6-10%/yr conditional | 1 |
| Da, Z., Engelberg, J., Gao, P. (2011). "In Search of Attention." Journal of Finance, 66(5), 1461-1499. Combined with Bernard-Thomas (1989) JAR. Window: T+1 to T+60d | 2011 | Journal of Finance | - | +2-5% over 21-60d | 1 |
| #35 industry_lead_lag — Menzly-Ozbas 2010 customer-supplier lead-lag. | 2010 | JF | - | - | 1 |
| Xing, Y., Zhang, X., Zhao, R. (2010). "What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?" Journal of Financial and Quantitative Analysis 45(3), 641-662. | 2010 | - | - | - | 1 |
| Hollander-Pronk-Roelofsen 2010, Matsumoto-Pronk-Roelofsen 2011: longer | 2010 | - | - | - | 1 |
| Cohen, Polk & Silli 2010 + Frazzini-Kabiller-Pedersen 2018 'Buffett's Alpha' Window: 1991-2005 | 2010 | SSRN | - | 4-9% ann. (Cohen-Polk-Silli 2010) | 1 |
| Hollander, Pronk & Roelofsen (2010) *Journal of Accounting Research*: "Does Silence Speak? An Empirical Analysis of Disclosure Choices During Conference Calls." Bowen-Davis-Matsumoto (2002 AR) and Larcker-Zakolyukina (2012 JAR) extend: analyst tone in Q&A questions carries forward-looking information. Window: 2002-2008 | 2010 | JAR | - | - | 1 |
| Roll, Schwartz & Subrahmanyam (2010) *Journal of Finance*: "O/S: The relative trading activity in options and stock." Window: 1996-2008 | 2010 | JF | - | ~3-5% ann. L/S top-decile O/S ratio (Roll-Schwartz-Subrahmanyam 2010 JF) | 1 |
| #122 def14a_comp_shift — Bebchuk-Cohen-Spamann 2010 / Larcker-Tayan 2015. | 2010 | - | - | ~1% over 6m | 1 |
| Baur, D. G., McDermott, T. K. (2010). "Is gold a safe haven? International evidence." Journal of Banking & Finance, 34(8), 1886-1898. Window: 1979-2009 | 2010 | Journal of Banking & Finance | - | ~4% ann. | 1 |
| Karolyi, G.A., Martell, R. (2010). "Terrorism and the Stock Market." International Review of Applied Financial Issues and Economics. Also Eldor, R., Melnick, R. (2004). "Financial markets and terrorism." Journal of Banking & Finance 28(8), 1925-1955. Window: T+0 to T+20d | 2010 | International Review of Applied Financial Issues and Economics | - | +1% to +3% | 1 |
| Extends: Mehran, H., Yermack, D. (2010). "CEO turnover and firm valuation." Journal of Financial Economics. Polymarket overlay is novel (alphactor 2026-05-20). Window: T+0 to T+60d | 2010 | Journal of Financial Economics (extension) | - | untested — moonshot | 1 |
| Extends: Baur, D. & Lucey, B. (2010). "Is gold a hedge or safe haven?" Financial Review. Novel regime classification — alphactor 2026-05-20. Window: T+1 to T+40d | 2010 | Financial Review | - | 100-250 bps over 20-40d | 1 |
| Carpenter, D., Chattopadhyay, J., Moffitt, S. & Nall, C. (2010). "The Complications of Controlling Agency Time Discretion: FDA Review Deadlines and Postmarket Drug Safety." American Political Science Review, 105(4), 644-666. Window: T+1 to T+60d | 2010 | American Political Science Review | - | above-baseline rejection | 1 |
| Li, F. (2010). "The Information Content of Forward-Looking Statements in Corporate Filings—A Naïve Bayesian Machine Learning Approach." Journal of Accounting Research, 48(5), 1049-1102. Window: T+1 to T+180d | 2010 | Journal of Accounting Research | - | ~2-4% over 6mo on top-decile | 1 |
| Frydman, C., Saks, R. E. (2010). "Executive Compensation: A New View from a Long-Term Perspective, 1936-2005." Review of Financial Studies, 23(5), 2099-2138. Also Edmans-Gabaix 2016 ARFE. Window: T+1 to T+365d | 2010 | Review of Financial Studies | - | ~3-5% over 12mo on top-decile | 1 |
| Cohen, R.B., Polk, C., Silli, B. (2010). "Best Ideas." Review of Financial Studies / SSRN. Window: T+45 to T+225d | 2010 | Review of Financial Studies | - | ~3-4%/yr on best-ideas basket | 1 |
| Cohen, R.B., Polk, C., Silli, B. (2010). "Best Ideas." RFS; Yan, X., Zhang, Z. (2009). "Institutional Investors and Equity Returns." RFS, 22(2), 893-924. Window: T+45 to T+225d | 2010 | Review of Financial Studies | - | ~4-7%/yr on joint-accumulation tail | 1 |
| #19 VRP / VIX term structure (Bollerslev, Tauchen, Zhou 2009). Window: 1990-2007 | 2009 | - | 1.0 conditional (Bollerslev-Tauchen-Zhou 2009) | ~6%/yr unconditional | 1 |
| #42 meta_equal_weight — DeMiguel-Garlappi-Uppal 2009 1/N over alpha sleeves. | 2009 | RFS | - | - | 1 |
| Literature: Boehmer-Huang-Jiang 2010 ("Short Sellers Are Informed"), Window: 1980-2005 (Boehmer-Huang-Jiang) | 2009 | - | - | - | 1 |
| #92 ensemble — DeMiguel-Garlappi-Uppal 2009 / Bryzgalova-Pelger-Zhu 2025 (multi-lane allocator). Window: 2026-05-15 production calibration on 615-ticker universe | 2009 | Review of Financial Studies / Journal of Finance | - | Variance reduction via diversification; +0.21 avg cup-tier lift system-wide | 1 |
| Kilian, L. (2009). "Not All Oil Price Shocks Are Alike." American Economic Review, 99(3), 1053-1069. Also Kilian-Park 2009 IER. Window: T+0 to T+30d | 2009 | American Economic Review | ~0.5 | +3% to +12% | 1 |
| Extends: Olfson, M., Marcus, S. C. (2009). "National patterns in antidepressant medication treatment." *Archives of General Psychiatry*. Novel biotech-equity short via FAERS launch-curve. Window: T+0 to T+60d | 2009 | Arch. Gen. Psychiatry (extension) | - | untested — internal | 1 |
| Lichtenberg, F.R. & Waldfogel, J. (2009). "Does misery love company? Evidence from pharmaceutical markets before and after the Orphan Drug Act." NBER Working Paper. Window: T+1 to T+120d | 2009 | NBER Working Paper | - | 12mo premium | 1 |
| Frydman, C. (2014). "The Governance Effect of CEO Pay." Annual Review of Financial Economics + Bebchuk, Cohen & Ferrell (2009) "What Matters in Corporate Governance?" Review of Financial Studies 22(2), 783-827. Window: T+1 to T+90d | 2009 | Review of Financial Studies | - | -3% over 90d | 1 |
| Diether, K.B., Lee, K.-H., Werner, I.M. (2009). "Short-Sale Strategies and Return Predictability." Review of Financial Studies, 22(2), 575-607. Window: T+1 to T+10d | 2009 | Review of Financial Studies | - | ~-1% over 5-10d | 1 |
| Cohen & Frazzini 2008, J. Finance, 'Economic Links and Predictable Returns' Window: 1980-2004 | 2008 | JF | - | 113 bps/month original; 50-70 bps modern (Cohen-Frazzini 2008) | 1 |
| Kogan, Papanikolaou, Seru & Stoffman 2017, QJE (extended to 2024) Window: 1926-2010 | 2008 | QJE | - | 3-5% ann. L/S (KPSS 2017 QJE) | 1 |
| #95 asset_growth_anomaly — Cooper-Gulen-Schill 2008 RFS investment-anomaly leg. Window: 1968-2003 | 2008 | RFS | - | ~8% ann. decile spread; ~3-4% OOS | 1 |
| Hennes, K. M., Leone, A. J., Miller, B. P. (2008). "The Importance of Distinguishing Errors from Irregularities in Restatement Research." The Accounting Review, 83(6), 1487-1519. Also GAO-03-138 (2003) "Financial Statement Restatements." Window: T+0 to T+90d | 2008 | The Accounting Review | - | -8% to -15% in 3d | 1 |
| Driesprong, G., Jacobsen, B., Maat, B. (2008). "Striking oil: Another puzzle?" Journal of Financial Economics, 89(2), 307-327. Window: T+0 to T+60d | 2008 | Journal of Financial Economics | - | ~3-7% over 30-60d | 1 |
| Brunnermeier, M. K., Nagel, S., Pedersen, L. H. (2008). "Carry Trades and Currency Crashes." NBER Macroeconomics Annual, 23, 313-347. Window: 1986-2006 | 2008 | NBER Macroeconomics Annual | - | -3% to -8% over 5-10d | 1 |
| Brav, A., Jiang, W., Partnoy, F., Thomas, R. (2008). "Hedge Fund Activism, Corporate Governance, and Firm Performance." Journal of Finance, 63(4), 1729-1775. Window: T+30d to T+720d | 2008 | Journal of Finance | - | ~+12% CAR | 2 |
| Hillberry, R., Hummels, D. (2008). "Trade Responses to Geographic Frictions." Also Froot-Kang-Ozik-Sadka 2017 RFS. Window: T+0 to T+90d | 2008 | International Economic Review | - | 5-7% ann. | 1 |
| Bessen, J., Meurer, M. (2008). "Patent Litigation." Journal of Economic Perspectives. Window: T+0 to T+90d | 2008 | Journal of Economic Perspectives | - | +/-2-5% | 1 |
| Extends: Berg, J.E., Nelson, F.D., Rietz, T.A. (2008). "Prediction market accuracy in the long run." International Journal of Forecasting 24(2). Pre-resolution mean-revert is novel (alphactor 2026-05-20). Window: T-5 to T+5 around resolution | 2008 | International Journal of Forecasting (extension) | - | untested — moonshot | 1 |
| Extends Boehmer, Jones, and Zhang fails-to-deliver / short-sale constraint literature using SEC FTD ZIP archives. Window: T+1 to T+20d | 2008 | Short-sale constraints literature | - | untested - internal | 1 |
| Brav, Jiang, Partnoy & Thomas (2008) "Hedge Fund Activism, Corporate Governance, and Firm Performance", Journal of Finance 63(4). Window: T+1 to T+365d | 2008 | Journal of Finance | - | ~5-7% first month, ~10% over 12mo | 1 |
| Brav & Jiang (2008) "Hedge Fund Activism, Corporate Governance, and Firm Performance", Journal of Finance 63(4). Window: T+30 to T+720d | 2008 | Journal of Finance | - | ~7-10% target-vs-sector over 12mo + revert | 1 |
| Cohen, L. & Frazzini, A. (2008). "Economic Links and Predictable Returns." Journal of Finance, 63(4), 1977-2011. (Cross-firm contagion mechanism applied to FAERS therapeutic-class severity spillover.) Window: T+1 to T+40d | 2008 | Journal of Finance | - | untested - internal | 1 |
| Boehmer, Jones & Zhang (2008) "Which Shorts Are Informed?", Journal of Finance 63(2). Window: T+1 to T+20d | 2008 | Journal of Finance | - | -1-3% over 20d (informed-short proxy) | 1 |
| Joint signal extending #25 borrow_rate_spike and Boehmer-Jones-Zhang 2008 JF — triangulating two independent short-pressure proxies (borrow-rate z + FTD presence). Window: T+1 to T+20d | 2008 | Journal of Finance | - | -1.5-3% over 10-20d (joint signal) | 1 |
| Composite of: Boehmer-Jones-Zhang (2008) JF + Larcker-Lynch-Tayan (2021) + Brav-Jiang-Partnoy-Thomas (2008) JF + Lerner-Beard-Sgouros (2014) JHE + Hendricks-Singhal (2003) POM + Falato-Kim-Ladika (2018). Window: 30/60/90d | 2008 | Multi (composite) | - | -3 to -8% over 60d | 1 |
| Composite of: Hwang-Stevens (2016) + Brav-Jiang-Partnoy-Thomas (2008) JF + Cohen-Malloy-Pomorski (2012) JF + Jayaraman-Frye (2020) + Mostaghim-Gagne-Kesselheim (2017) BMJ. Window: 30/60/90d | 2008 | Multi (composite) | - | +3 to +8% over 60d | 1 |
| Boehmer, E., Jones, C.M., Zhang, X. (2008). "Which Shorts Are Informed?" Journal of Finance, 63(2), 491-527. Combined with Drechsler-Drechsler 2014 NBER. Window: T+1 to T+40d | 2008 | Journal of Finance | - | -1 to -2% over 20-40d | 1 |
| #32 earnings_announcement_premium — Frazzini-Lamont 2007 EAP. Window: 1972-1986 (Beaver), updated through 2015 | 2007 | - | - | ~9bp/day, faded to 5-6 bp/day in OOS | 1 |
| #115 shareholder_yield — Bridgeway / Boudoukh-Michaely-Richardson-Roberts 2007. | 2007 | - | - | ~3-5% ann. (combined yield decile spread) | 1 |
| Mu, X. (2007). "Weather, storage, and natural gas price dynamics." Energy Economics, 29(1), 46-63. Also Considine 2000 RE&E. Window: T+0 to T+20d | 2007 | Energy Economics | - | 50-150 bps | 1 |
| Snowberg, E., Wolfers, J., Zitzewitz, E. (2007). "Partisan impacts on the economy: Evidence from prediction markets and close elections." QJE 122(2), 807-829. Window: T+1 to T+60d | 2007 | Quarterly Journal of Economics | - | 100-300 bps | 1 |
| Einav, L. (2007). "Seasonality in the U.S. motion picture industry." Marketing Science 26(2); De Vany & Walls (1999). Window: T+1 to T+20d | 2007 | Marketing Science | - | 50-200 bps | 1 |
| Coval, J.D., Stafford, E. (2007). "Asset Fire Sales (and Purchases) in Equity Markets." Journal of Financial Economics, 86, 479-512. Window: Press: T+45 to T+85d; Reversion: T+135 to T+225d | 2007 | Journal of Financial Economics | - | ~7-10% reversion long (CS 2007) | 1 |
| #20 Pairs cointegration — Engle-Granger 2-step (Gatev, Goetzmann, Rouwenhorst 2006). | 2006 | - | - | - | 1 |
| #34 idio_vol_puzzle — Ang-Hodrick-Xing-Zhang 2006/2009. Window: 1963-2000 (Ang-Hodrick-Xing-Zhang) | 2006 | - | - | ~-7% ann. on top-quintile IVOL | 1 |
| Kavussanos, M.G., Visvikis, I.D. (2006). "Shipping freight derivatives: a survey of recent evidence." Maritime Economics & Logistics, 8(3), 233-252. Window: T+0 to T+60d | 2006 | Maritime Economics & Logistics | - | 1-3% | 1 |
| Gorton, G., Rouwenhorst, K.G. (2006). "Facts and Fantasies about Commodity Futures." Financial Analysts Journal, 62(2), 47-68. Window: T+0 to T+90d | 2006 | Financial Analysts Journal | - | -1% to -4% | 1 |
| Franzoni, F., Marin, J.M. (2006). "Pension Plan Funding and Stock Market Efficiency." Journal of Finance. Window: T+0 to T+365d | 2006 | Journal of Finance | - | ~5% | 1 |
| Erb, C. & Harvey, C. (2006). "The strategic and tactical value of commodity futures." FAJ. Gorton, G. & Rouwenhorst, K. G. (2006). "Facts and fantasies about commodity futures." FAJ. Window: T+1 to T+40d | 2006 | FAJ | - | 200-400 bps over 20-40d | 1 |
| Sandvig, J. C., & Larson, R. (2016). "The impact of online consumer reviews on box office performance." J. Interactive Marketing; Liu, Y. (2006) J. Marketing 70(3). Window: T+1 to T+20d | 2006 | Journal of Marketing | - | 50-200 bps | 1 |
| Extends Franzoni & Marin (2006) 'Pension Plan Funding and Stock Market Efficiency' Journal of Finance + Rauh (2006) 'Investment and Financing Constraints' Journal of Finance. Macro analog on the Milliman 100 Pension Funding Index. Window: T+5 to T+63d | 2006 | Journal of Finance | - | ~3-5% over 1-3mo | 1 |
| Diether-Malloy-Scherbina + Asquith-Pathak-Ritter 2005 (short-sale constraint literature) | 2005 | - | - | - | 1 |
| #105 enterprise_yield — Greenblatt-style EBITDA/EV + FCF/EV composite. Window: 1990-2014 | 2005 | Greenblatt / FAJ | - | 4-7% ann. EV-yield spread; +1% over B/M | 1 |
| Extends: Hall, B. H., Jaffe, A., Trajtenberg, M. (2005). "Market value and patent citations." *RAND Journal of Economics*, 36(1), 16-38. Lerner, J. (1994). "The importance of patent scope." *RAND Journal of Economics*. Novel continuation-burst-as-event specification. Window: T+0 to T+90d | 2005 | RAND J. Econ. (extension) | - | untested — internal | 1 |
| Cochrane, J. H. & Piazzesi, M. (2005). "Bond Risk Premia." American Economic Review 95(1), 138-160. Window: 21/63/126d | 2005 | American Economic Review | - | ~0.5%/month | 1 |
| Asquith, P., Pathak, P.A., Ritter, J.R. (2005). "Short interest, institutional ownership, and stock returns." Journal of Financial Economics, 78, 243-276. Window: T+1 to T+126d | 2005 | Journal of Financial Economics | - | -7%/yr on top quintile | 1 |
| George & Hwang (2004) and Geczy & Samonov (2015) show that the Window: 1963-2001 | 2004 | - | - | ~0.45%/month over market (George-Hwang 2004) | 1 |
| #104 noa_anomaly — Hirshleifer-Hou-Teoh-Zhang 2004 RAS net-operating-assets bloat. Window: 1964-2002 | 2004 | RAS | - | 6-9% ann. decile spread; 2-4% OOS | 1 |
| #113 capex_spike_negative — Titman-Wei-Xie 2004 JFQA — capex/sales top-decile underperformance. | 2004 | - | - | ~3-4% ann. abnormal return | 1 |
| #124 stocktwits_bull_bear_drift — Antweiler-Frank 2004 JF — bullish-bearish ratio from message boards. | 2004 | - | - | ~1-2% over 1-5 days | 1 |
| George, T. J., Hwang, C. (2004). "The 52-Week High and Momentum Investing." Journal of Finance, 59(5), 2145-2176. Window: 1963-2001 | 2004 | Journal of Finance | - | ~0.45%/mo | 1 |
| Drakos, K. (2004). "Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of 9/11." European Journal of Political Economy. Also Karolyi-Martell 2010 IRAFIE. Window: T+0 to T+10d | 2004 | European Journal of Political Economy | ~0.3 | -3% to -5% | 1 |
| Extends: Wolfers, J., Zitzewitz, E. (2004). "Prediction Markets." Journal of Economic Perspectives 18(2). Single-name option-implied-probability arb is novel (alphactor 2026-05-20). Window: T+0 to T+63d post-spread | 2004 | Journal of Economic Perspectives (extension) | - | untested — moonshot | 1 |
| Chen, H., Noronha, G., & Singal, V. (2004). "The price response to S&P 500 index additions and deletions: evidence of asymmetry and a new explanation." Journal of Finance 59(4), 1901-1929. Window: T+1 to T+60d | 2004 | Journal of Finance | - | +3-5% over 30-45d (Chen-Noronha-Singal 2004) | 1 |
| Wolfers, J. & Zitzewitz, E. (2004). "Prediction markets." Journal of Economic Perspectives 18(2), 107-126. + Berg, Nelson & Rietz (2008) IJF. Window: T+1 to T+20d | 2004 | Journal of Economic Perspectives | - | 100-300 bps over 5-20d (modeled) | 1 |
| Bin, O. & Polasky, S. (2004). "Effects of Flood Hazards on Property Values: Evidence Before and After Hurricane Floyd." The Journal of Risk and Insurance 71(4), 627-647. Window: 14/28/56d | 2004 | Journal of Risk and Insurance | - | -1 to -4% over 28d | 1 |
| Chen, H., Noronha, G., Singal, V. (2004). "The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation." Journal of Finance, 59(4), 1901-1929. Window: T+1 to T+60d | 2004 | Journal of Finance | - | +1-2% over 30-60d | 2 |
| Hirshleifer, D., Shumway, T. (2003). "Good Day Sunshine: Stock Returns and the Weather." Journal of Finance, 58(3), 1009-1032. Also Goetzmann-Kim-Kumar-Wang 2015 RFS. Window: T+0 to T+3d | 2003 | Journal of Finance | - | 10-15 bps/day | 1 |
| Santa-Clara, P., Valkanov, R. (2003). "The Presidential Puzzle: Political Cycles and the Stock Market." Journal of Finance, 58(5), 1841-1872. Also Belo-Gala-Li 2013 JFE. Window: T+0 to T+180d | 2003 | Journal of Finance | ~0.4 | +2% to +6% | 1 |
| Drakos, K., Kutan, A.M. (2003). "Regional effects of terrorism on tourism: Evidence from three Mediterranean countries." Journal of Conflict Resolution 47(5), 621-641. Also Becker, G.S., Rubinstein, Y. (2011). "Fear and the response to terrorism: An economic analysis." Economic Journal. Window: T+0 to T+10d | 2003 | Journal of Conflict Resolution | - | -2% to -4% | 1 |
| Extends: Hamilton, J.D. (2003). "What is an oil shock?" Journal of Econometrics 113(2). Also Kilian, L. (2009). "Not all oil price shocks are alike." American Economic Review 99(3). ACLED event-density specification is novel (alphactor 2026-05-20). Window: T+0 to T+20d | 2003 | Journal of Econometrics (extension) | - | +1% to +3% over 20d | 1 |
| Hendricks, K.B. & Singhal, V.R. (2003). "The effect of supply chain glitches on shareholder wealth." Production & Operations Management, 12(3), 269-285. Window: T+1 to T+20d | 2003 | Production & Operations Management | - | 2-3x routine recall | 1 |
| Hendricks, K.B. & Singhal, V.R. (2003). "The effect of supply chain glitches on shareholder wealth." Production & Operations Management, 12(3), 269-285. (Competitor-leg cross-firm spillover.) Window: T+1 to T+20d | 2003 | Production & Operations Management | - | +1.5-3% over 10-20d | 1 |
| Abadie, A. & Gardeazabal, J. (2003). "The Economic Costs of Conflict: A Case Study of the Basque Country." American Economic Review + Saiz, A. & Wachter, S. (2011). "Immigration and the Neighborhood." AEJ Macro. Window: 30/60/90d | 2003 | American Economic Review | - | -2 to -5% over 60d | 1 |
| Bushee, B. J., Matsumoto, D. A., & Miller, G. S. (2003). "Open versus closed conference calls." RAS; Loughran, T., & McDonald, B. (2014) JF 69(4). Window: T+1 to T+60d | 2003 | Review of Accounting Studies | - | 75-200 bps | 1 |
| Madhavan, A. (2003). "The Russell Reconstitution Effect." Financial Analysts Journal, 59(4), 51-64. Window: T+1 to T+90d | 2003 | Financial Analysts Journal | - | +2-4% over 60-90d | 1 |
| Bowen-Davis-Matsumoto 2002, Demers-Vega 2010: keyword markers of | 2002 | - | - | - | 1 |
| Bloomfield (2002) Incomplete Revelation Hypothesis: managers obfuscate Window: 2002-2019 | 2002 | JAR | - | ~4% annual underperformance on Q/Q fog-rise decile (Bochkay et al 2020) | 1 |
| Diether, Malloy & Scherbina 2002, Journal of Finance Window: 1976-2000 | 2002 | JF | - | ~7-9% ann. L/S (Diether-Malloy-Scherbina 2002) | 1 |
| #83 amihud_illiquidity — Amihud 2002 JFM "Illiquidity and stock returns". Window: 1963-1997 | 2002 | JFM | - | ~6 bps/month per std (Amihud 2002) | 1 |
| Considine, T.J. (2002). "Inventories and market power in the world crude oil market." Energy Economics 24(3), 247-265. Also Cohen, L., Garcia, D., Khan, U., Pinchuk, A. (2024) (hurricanes and equity returns). Window: T+0 to T+7d | 2002 | Energy Economics | - | -1% to -3% | 1 |
| Extends: Considine, T. J. (2002). "Inventories and market power in the world crude oil market." Energy Economics. Novel refiner-equity application — alphactor 2026-05-20. Window: T+1 to T+20d | 2002 | Energy Economics | - | 150-300 bps over 10-20d | 1 |
| Considine, T.J. (2002). "Inventories and market power in the world crude oil market." Energy Economics 24(4), 343-364. + Geman & Smith (2013) Resources Policy. Window: T+1 to T+20d | 2002 | Energy Economics | - | 80-180 bps over 5-20d (modeled) | 1 |
| Diether, Malloy & Scherbina (2002) "Differences of Opinion and the Cross Section of Stock Returns", Journal of Finance 57(5). Window: T+1 to T+90d | 2002 | Journal of Finance | - | ~-9.5%/yr top dispersion decile (DMS 2002) | 1 |
| Chen, J., Hong, H., Stein, J.C. (2002). "Breadth of ownership and stock returns." Journal of Financial Economics, 66(2-3), 171-205. Window: T+45 to T+135d | 2002 | Journal of Financial Economics | - | ~-6% over 60-90d on top decile | 1 |
| D'Avolio, G. (2002). "The market for borrowing stock." JFE 66, 271-306. Lamont, O.A., Stein, J.C. (2004). "Aggregate Short Interest and Market Valuations." AER P&P, 94(2), 29-32. Window: T+1 to T+20d | 2002 | Journal of Financial Economics | - | 100-300 bps over 5-20d | 1 |
| Diether, K.B., Malloy, C.J., Scherbina, A. (2002). "Differences of Opinion and the Cross Section of Stock Returns." Journal of Finance, 57(5), 2113-2141. Window: T+1 to T+90d | 2002 | Journal of Finance | - | -2 to -5% over 30-90d | 1 |
| Lakonishok-Lee 2001, Cohen-Malloy-Pomorski 2012: corroborated insider Window: 1992-2009 | 2001 | - | - | ~6%/yr alpha for cluster buys; 82bps/mo opportunistic | 1 |
| Froot, K. (2001). "The Market for Catastrophe Risk: A Clinical Examination." Journal of Financial Economics, 60(2-3), 529-571. Window: T+0 to T+180d | 2001 | Journal of Financial Economics | - | +5% to +12% | 1 |
| Extends: Mitchell, M., Pulvino, T. (2001). "Characteristics of risk and return in risk arbitrage." Journal of Finance 56(6). Polymarket overlay is novel (alphactor 2026-05-20). Window: T+0 to T+90d | 2001 | Journal of Finance (extension) | - | untested — moonshot | 1 |
| #92 piotroski_f_score — Piotroski 2000 JAR 9-criteria quality score. Window: 1976-1996 | 2000 | JAR | - | ~7.5% ann. long-only in value tertile | 1 |
| Starr-McCluer, M. (2000). "The Effects of Weather on Retail Sales." Federal Reserve FEDS 2000-08. Also Murray et al 2010 JRCS. Window: T+0 to T+10d | 2000 | FEDS Working Paper | - | -1% to -2% | 1 |
| Roth, A. & Tribbet, J. (2011) + Starr-McCluer, M. (2000). "The Effects of Weather on Retail Sales." Federal Reserve Board working paper. Window: 14/28/42d | 2000 | FRB working paper | - | -1 to -3% over 28d | 1 |
| #17 Industry/sector momentum — Moskowitz-Grinblatt 1999. | 1999 | - | - | - | 1 |
| #96 beneish_m_score_short — Beneish 1999 FAJ 8-variable earnings-manipulation index. Window: 1982-1992 (in-sample); 1993-2012 OOS replications | 1999 | FAJ | - | 76% true-positive on flagged manipulators (1982-1992); 2-5% ann. short alpha OOS | 1 |
| De Vany-Walls 1999 J.Cultural.Econ "Uncertainty in the movie industry: does star power reduce the terror of the box office?"; Einav 2007 RAND J.Econ "Seasonality in the U.S. motion picture industry". Window: T+0 to T+20d | 1999 | Journal of Cultural Economics / RAND Journal of Economics | - | untested — internal | 1 |
| Borenstein, S. & Bushnell, J. (1999). "An empirical analysis of the potential for market power in California's electricity industry." RAND Journal of Economics 30(3), 419-454. (Methodology generalized to refining throughput.) Window: T+1 to T+10d | 1999 | RAND Journal of Economics | - | 80-160 bps over 5-10d (modeled) | 1 |
| Grinblatt, M. & Moskowitz, T. J. (1999). "Do Industries Explain Momentum?" Journal of Finance 54(4), 1559-1599. Window: 21/63/126 trading days | 1999 | Journal of Finance | - | ~0.7-1.0%/month long-short | 1 |
| Mulherin, J. H., Poulsen, A. B. (1998). "Proxy Contests and Corporate Change." Journal of Financial Economics, 47(3), 279-313. Window: T+90d to T+720d | 1998 | Journal of Financial Economics | - | ~+6-8% | 1 |
| Extends: Krider-Weinberg 1998 J.Marketing.Research "Competitive dynamics and the introduction of new products: the motion picture timing game"; novel holiday-window-to-equity passthrough application — alphactor 2026-05-20. Window: T+0 to T+10d | 1998 | Journal of Marketing Research (extension) | - | untested — internal | 1 |
| Hallock, K. F. (1998). "Layoffs, top executive pay, and firm performance." ILR 51(4); Farber, H. S., & Hallock, K. F. (2009). Labour Economics 16(1). Window: T+1 to T+60d | 1998 | Industrial and Labor Relations Review | - | 100-300 bps | 1 |
| Krider, R. E., & Weinberg, C. B. (1998). "Competitive dynamics and the introduction of new products: The motion picture timing game." JMR 35(1); Eliashberg & Sawhney (1994). Window: T+1 to T+20d | 1998 | Journal of Marketing Research | - | 75-200 bps | 1 |
| Hotchkiss, E. S., & Mooradian, R. M. (1997). "Vulture Investors and the Market for Control of Distressed Firms." Review of Financial Studies, 10(3), 597-633 + Atiase-Platt-Tipton (2004) Journal of Business Finance & Accounting. Window: T+1 to T+90d | 1997 | Review of Financial Studies | - | -4% over 60d | 1 |
| #37 sloan_accruals — Sloan 1996 accruals anomaly. Window: 1962-1991 | 1996 | JAE | - | ~10% ann. L/S (1962-1991); 4-6% OOS | 1 |
| Womack, K.L. (1996). "Do Brokerage Analysts' Recommendations Have Investment Value?" Journal of Finance, 51(1), 137-167. Combined with Jegadeesh-Kim (2009) RFS. Window: T+1 to T+30d | 1996 | Journal of Finance | - | +/-2-4% over 10-30d | 1 |
| #36 buyback_drift — Ikenberry-Lakonishok-Vermaelen 1995 / Peyer-Vermaelen 2009. Window: 1980-1990 (Ikenberry-Lakonishok-Vermaelen) | 1995 | NBER | - | ~3-4% ann. abnormal return | 1 |
| #87 buyback_blackout_reopen — buyback calendar boundaries; extends Ikenberry-Lakonishok-Vermaelen 1995. | 1995 | NBER | - | ~50-150 bps annualized | 1 |
| Choi, J. J., Prasad, A. M. (1995). "Exchange Risk Sensitivity and Its Determinants." Journal of International Business Studies, 26(1), 77-99. Window: T+0 to T+60d | 1995 | Journal of International Business Studies | - | ~2-4% annualized USD-conditional | 1 |
| Loughran, T., Ritter, J. R. (1995). "The New Issues Puzzle." Journal of Finance, 50(1), 23-51. Also Ritter 1991 JF. Window: T+12m to T+36m | 1995 | Journal of Finance | - | -7%/yr | 1 |
| Loughran, T., Ritter, J. R. (1995). "The New Issues Puzzle." Journal of Finance, 50(1), 23-51 (SEO leg). Window: T+6m to T+36m | 1995 | Journal of Finance | - | -7 to -8%/yr | 1 |
| Pindyck, R. S. (1994). "Inventories and the short-run dynamics of commodity prices." RAND Journal of Economics, 25(1), 141-159. Window: T+1 to T+20d | 1994 | RAND Journal of Economics | - | 300-800 bps over 10-20d | 1 |
| Extends: Born, P., Viscusi, W.K. (1994). "Insurance market responses to the 1989 California earthquake." Journal of Risk and Insurance. Also Klein, R.W. (1998) J. Insurance Regulation. Novel track-cone-trigger application. Window: T+0 to T+15d | 1994 | Journal of Risk and Insurance | - | -2% to -4% | 1 |
| #2 Cross-sectional momentum — Jegadeesh-Titman 1993. Window: 1965-1989 (Jegadeesh-Titman) | 1993 | - | ~0.3 since 2010 | - | 1 |
| #100 spin_off_drift — Cusatis-Miles-Woolridge 1993 / McConnell-Ovtchinnikov 2004 post-separation drift. Window: 1965-1988 (in-sample); 1990-2018 OOS replications | 1993 | JFE | - | 10-15% year-1 abnormal returns in the 1980s sample; 3-7% modern OOS | 1 |
| Bessembinder, H., Chan, K. (1992). "Time-Varying Risk Premia and Forecastable Returns in Futures Markets." Journal of Financial Economics, 32(2), 169-193. Window: T+0 to T+60d | 1992 | Journal of Financial Economics | - | ~4-8% over 30-90d | 1 |
| #84 analyst_revision_breadth — Brown 1991 + Givoly-Lakonishok 1979 analyst-revision breadth. Window: 1976-1988 | 1991 | JAR | - | ~3-6% ann. L/S (Brown 1991 / Givoly-Lakonishok 1979) | 1 |
| #118 yield_curve_sector_rotation — Estrella-Hardouvelis 1991 JF / Estrella-Mishkin 1998. | 1991 | - | - | ~3-5% sector-rotation premium | 1 |
| Stickel, S. E. (1991). "Common Stock Returns Surrounding Earnings Forecast Revisions." The Accounting Review, 66(2), 402-416. Window: 1976-1986 | 1991 | The Accounting Review | - | ~3% in 30d | 1 |
| #18 Short-term reversal — sub-week mean reversion (Jegadeesh 1990). | 1990 | - | - | - | 1 |
| #13 PEAD — Post-Earnings Announcement Drift (Bernard-Thomas 1989). Window: 1974-1986 (Bernard-Thomas) | 1989 | - | 4-5% in OOS | ~9% ann. top-decile SUE | 1 |
| #85 pead_text_confirmation — PEAD (Bernard-Thomas 1989) × transcript FinBERT sentiment confirmation. | 1989 | JAR | - | ~50-100 bps incremental over vanilla PEAD | 1 |
| #109 sue_zscore_drift — Bernard-Thomas 1989 JAE / Foster-Olsen-Shevlin 1984 SUE drift refinement. Window: 1974-1986 (in-sample) | 1989 | JAE | - | +6-8% / -5-7% over 60d | 1 |
| Wruck, K. H. (1989). "Equity Ownership Concentration and Firm Value." Journal of Financial Economics, 23(1), 3-28. Also Hertzel-Lemmon-Linck-Rees 2002 JF. Window: T+90d to T+720d | 1989 | Journal of Financial Economics | - | -23% CAR over 3y | 1 |
| Hallock 1998 ILR + Bernard, V. L., & Thomas, J. K. (1989). "Post-earnings-announcement drift." Journal of Accounting Research 27 Suppl. Window: T+1 to T+120d | 1989 | Journal of Accounting Research | - | 75-250 bps | 1 |
| Borenstein, S. & Zimmerman, M.B. (1988). "Market incentives for safe commercial airline operation." RAND Journal of Economics, 19(3), 397-417. Window: T+1 to T+40d | 1988 | RAND Journal of Economics | - | ~2x routine recall | 1 |
| Akerlof, G., Rose, A.K., Yellen, J.L. (1988). "Job Switching and Job Satisfaction in the U.S. Labor Market." BPEA. Combined with Stevens (1997) JLE. Window: T+45d to T+63d after publication | 1988 | Brookings Papers on Economic Activity | - | -1 to -3% over 21-63d | 1 |
| Asquith, P., Mullins, D. W. (1986). "Equity Issues and Offering Dilution." Journal of Financial Economics, 15(1-2), 61-89. Also Mikkelson-Partch 1986 JFE. Window: T+5d to T+30d | 1986 | Journal of Financial Economics | - | -2 to -4% | 1 |
| #106 roll_implicit_spread — Roll 1984 JF bid-ask spread from neg-autocovariance. Window: 1963-2002 (Brennan-Chordia 2012 OOS) | 1984 | JF | - | 3-5% ann. spread-delta short alpha | 1 |
| Foster, G., Olsen, C., Shevlin, T. (1984). "Earnings releases, anomalies, and the behavior of security returns." The Accounting Review, 59(4), 574-603. Window: T+1 to T+90d | 1984 | The Accounting Review | - | +/-3-6% over 60-90d | 1 |
| #114 dividend_initiation_drift — Asquith-Mullins 1983 JF — first-time dividend initiations. | 1983 | - | - | ~2-3% over 3-12m | 1 |
| #103 ohlson_o_score — Ohlson 1980 JAR 9-variable logit bankruptcy index. Window: 1970-1976 (in-sample) | 1980 | JAR | - | Orthogonal to Z; combined yield 5-8% ann. | 1 |
| • TURN-OF-MONTH (Ariel 1987, Lakonishok-Smidt 1988): Window: 1994-2011 | 1973 | - | - | ~3-5% ann. pre-FOMC (Lucca-Moench 2015) | 1 |
| #102 altman_z_score — Altman 1968 bankruptcy-distress proxy (mkt-cap X4 variant). Window: 1968-present (Hilscher-Wilson 2017 OOS) | 1968 | JF | - | 3-5% ann. long-safe / short-distress | 1 |
| Extends: Working, H. (1949). "The theory of price of storage." American Economic Review. McNew, K. P. & Fackler, P. L. (1996). AJAE. Novel ag-equity passthrough — alphactor 2026-05-20. Window: T+1 to T+40d | 1949 | AER | - | 150-300 bps over 20-40d (modeled) | 1 |