Methodology
Paper index: 499 papers behind the alpha pipeline
Each row is one paper; the chips on the right show every strategy that implements it. Sort by year to see the recent literature, or filter by journal or strategy family. Citations without a link are early or working papers, the text is kept so the source is still traceable.
499 unique papers · 539 families cite at least one paper · 343 papers with link
499 of 499
| Citation | Year▼ | Journal | Paper Sharpe | Expected edge | Strategies |
|---|---|---|---|---|---|
| #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 | |
| #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 | |
| Moonshot B 2026-05-20 — champion-failure-cluster #1 (high-VIX gate) Window: 1y holdback | 2026 | - | - | TBD post-promote | |
| Moonshot B 2026-05-20 — champion-failure-cluster #2 (deep-drawdown gate) Window: 1y holdback | 2026 | - | - | TBD post-promote | |
| Moonshot B 2026-05-20 — champion-failure-cluster #3 (pre-FOMC gate) Window: 1y holdback | 2026 | - | - | TBD post-promote | |
| Moonshot B 2026-05-20 — champion-failure-cluster #4 (risk-off regime gate) Window: 1y holdback | 2026 | - | - | TBD post-promote | |
| Moonshot B 2026-05-20 — champion-failure-cluster #5 (SPY-below-200d gate) Window: 1y holdback | 2026 | - | - | TBD post-promote | |
| 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 | |
| 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 | |
| Extends: worker-adjustment and layoff-announcement drift literature; public layoffs.fyi event panel. Window: T+1 to T+60d | 2026 | Alphactor internal | - | untested - internal | |
| Extends product-recall event-study literature using NHTSA recall severity data. Window: T+1 to T+40d | 2026 | Alphactor internal | - | untested - internal | |
| 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 | |
| AQR's 2025 "A New Paradigm in Active Equity" identifies Mag-7 | 2025 | - | - | - | |
| Bryzgalova, Pelger & Zhu (2025) *Journal of Finance*: "Forest Through the | 2025 | JF | - | - | |
| Schmeling, M., & Wagner, C. (2025). "Does Central Bank Tone Move Asset Prices?" Journal of Financial and Quantitative Analysis, 60(1), 36-67. Window: T+0 to T+3d | 2025 | Journal of Financial and Quantitative Analysis | - | 10-40 bps | |
| Composite internal thesis (no single-paper source). Motivating literature: Schmeling, M., Wagner, C. (2025). "Does Central Bank Tone Move Asset Prices?" Journal of Financial and Quantitative Analysis, 60(1), 36-67; Bowman, D., Londono, J.M., Sapriza, H. (2015). "U.S. unconventional monetary policy and transmission to emerging market economies." Journal of International Money and Finance, 55, 27-59. Window: T+1 to T+10d | 2025 | Journal of Financial and Quantitative Analysis | - | +1-3% over 5-10d | |
| Campbell, Zheng & Zhou (2025), Journal of Corporate Finance. Window: Earnings-call event windows | 2025 | JCF | - | 23bps 3-day CAR per 1sd numeric specificity in the paper setting | |
| Contreras, H. (2025). Informed Trading Competition and the Post-Earnings-Announcement Drift. SSRN Working Paper. Window: Modern daily equity data | 2025 | WP | - | - | |
| Eksi, A. & Roy, S. (2025). Stock Return Predictability of Realized-Implied Volatility Spread and Abnormal Turnover. SSRN / EFMA 2024 Lisbon. Window: Modern daily equity data | 2025 | WP | - | - | |
| Joint News, Attention Spillover, and Stock Returns (2025 draft), arXiv:1703.02715; builds on Da, Engelberg & Gao (2011 JF). Window: Modern daily equity data | 2025 | WP | - | - | |
| Anonymous (2025). Discovery of a 13-Sharpe OOS Factor: Drift Regimes Unlock Hidden Cross-Sectional Predictability. arXiv:2511.12490 [q-fin]. | 2025 | - | - | - | |
| 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) | |
| 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) | |
| Industry mechanism: Phase III trial-status transitions to TERMINATED/WITHDRAWN/SUSPENDED predict negative drift; COMPLETED with results posted predicts positive. Window: T+1 to T+63d | 2024 | n/a (event-mechanism) | ~0.6 | ~5-15% per event | |
| Industry mechanism: PDUFA approval windows differ by label type (NME larger reprice than label expansion). Window: T-15d to T+30d | 2024 | n/a (event-mechanism) | ~0.5 | ~5-15% per event | |
| Industry mechanism: adverse-event spike in one drug rotates prescriptions to same-indication peers. Window: T+1 to T+63d | 2024 | n/a (event-mechanism) | ~0.5 | ~3-7%/yr | |
| Industry mechanism: shelf takedown filings overhang the float and predict negative drift. Window: T+1 to T+90d | 2024 | n/a (event-mechanism) | ~0.5 | ~3-8% per event | |
| Industry mechanism: combined shelf + Form D cluster signals persistent ATM offering regime. Window: T+1 to T+180d | 2024 | n/a (event-mechanism) | ~0.5 | ~5-12%/6mo | |
| Industry mechanism: 8-K (1.01 material agreement + 2.03 financial obligation) cluster = convertible note issuance / debt refinancing / distressed exchange. Window: T+1 to T+180d | 2024 | n/a (event-mechanism) | ~0.5 | ~5-15% per event | |
| 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% | |
| 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 | |
| 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 | |
| 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 | |
| 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% | |
| 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) | |
| Internal event-study construction (no direct academic source). Motivated descriptively by PG&E's ~$30B 2017-2018 wildfire-liability episode; broad climate-finance context only from Pankratz, N. & Schiller, C. (2024), "Climate Change and Adaptation in Global Supply-Chain Networks," RFS 37(6), 1729-1777 (supply-chain heat exposure; does NOT contain this signal) and Mukanjari & Sterner (2020). Previously misattributed to Pankratz-Schiller with wrong volume/issue/pages ("37, 2168-2206"). Window: Internal design choice, not paper-derived: T+1 entry, 10/20 trading-day hold. | 2024 | Review of Financial Studies | - | Internal design estimate, not paper-derived: -1 to -3% utility / +1-2% reinsurer over 10-20d during top-decile fire periods. | |
| 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 | |
| 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 | |
| Della Corte & Kosowski (2024), Market Closure and Short-Term Reversal. Window: Modern daily equity data | 2024 | WP | - | - | |
| Allee, K. D., Do, C., & Do, H. N. (2024). Can Analysts Elicit Useful Information by Asking Unique Questions in Earnings Conference Calls? European Accounting Review, 34(4). Window: Modern daily equity data | 2024 | WP | - | - | |
| Graziani, G. (2024). Time Series Reversal: A Payment Cycle Friction. Working paper (AFA submission). Window: Modern daily equity data | 2024 | WP | - | - | |
| 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) | |
| 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 | |
| So & Wang (2023) *Journal of Accounting Research*: "News-Implied Analyst Window: 2005-2021 | 2023 | JAR | 1.5 (So-Wang 2023), 30d drift | - | |
| Cookson, Engelberg & Mullins (2023) *RFS*: "Echo Chambers" + Jiang-Li Window: 2010-2021 | 2023 | RFS | 1.4 (Cookson-Engelberg-Mullins 2023) | - | |
| Eisfeldt, Schubert & Zhang (2023), "Generative AI and Firm Values", NBER Working Paper w31222 Window: Event window around ChatGPT release (Nov 30, 2022), ~2 weeks post-release | 2023 | NBER | - | ~0.4%/day (~5% cumulative) Artificial-Minus-Human long/short in the ~2 weeks after ChatGPT's Nov-2022 release | |
| 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 | |
| Huang, Wang & Yang (2023) *Contemporary Accounting Research*: Window: 2003-2022 | 2023 | JFE | - | ~5% ann. L/S Q&A-dispersion (Huang-Wang-Yang 2023) | |
| Hassan, Hollander, van Lent & Tahoun (2019) *Quarterly Journal of Economics* Window: 2002-2016 | 2023 | JF | - | ~4% L/S decile spread (Hassan et al 2019) | |
| #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) | |
| 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 | |
| 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 | |
| Internal heuristic (no academic backing). Inspired by but NOT faithful to Yu, Hao, Wu, Zhao & Wang (2023), 'Eye in outer space: satellite imageries of container ports can predict world stock returns,' Humanities & Social Sciences Communications 10, Article 383 - that paper trades broad country stock INDICES on DAILY satellite container-coverage-AREA (congestion stock) with a NEGATIVE sign, none of which this generator reproduces. Window: T+0 to T+20d | 2023 | Nature HSSC | - | - | |
| 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 | |
| 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 | |
| Addoum, J.M., Ng, D.T. & Ortiz-Bobea, A. (2023). "Temperature shocks and industry earnings news." Journal of Financial Economics 150(1), 1-45. Window: 21/42/63d | 2023 | Journal of Financial Economics | - | n/a (in-house heuristic; the paper documents temperature-shock predictability of industry earnings news and analyst under-reaction, not this rule's alpha) | |
| Eisfeldt, A. L., Schubert, G., Zhang, M. B. (2023). "Generative AI and Firm Values." NBER Working Paper 31222. Window: filing+45d to filing+297d | 2023 | NBER Working Paper | - | +5-8% over 252d | |
| Original incident-proxy hypothesis (no supporting academic source). Previously mis-cited to Florackis, Louca, Michaely & Weber (2023), "Cybersecurity Risk," Review of Financial Studies 36(1), 351-407, which documents the OPPOSITE effect: a positive cross-sectional cyber-risk premium in which HIGH cyber-risk-exposure firms OUTPERFORM by up to 8.3%/yr (long-high/short-low), supporting a long on the exposure level, not a short. Window: filing+45d to filing+225d | 2023 | Review of Financial Studies | - | -4 to -6% over 180d | |
| Cohen-Diether-Malloy 2013 (Twitter-style attention) + Bianchi-Gomez-Melo 2023 (Fed/political speech on markets). Broadcast-attribution adapted to Trump tariff/china posts. Window: 2017-present (TT+TS stitch) | 2023 | JFE / WP | - | - | |
| Hanauer, M.X., Lesnevski, P., Smajlbegovic, E. (2023). Surprise in short interest. Journal of Financial Markets, 65, 100841. Window: Modern daily equity data | 2023 | Journal of Financial Markets | - | - | |
| Lee, C. M. C., Sun, S. T., Wang, R., & Zhang, R. (2023). Technological Links and Predictable Returns (TNIC). Review of Financial Studies. | 2023 | Review of Financial Studies | - | - | |
| Bogousslavsky, V., & Muravyev, D. (2023). Who Trades at the Close? Implications for Price Discovery and Liquidity. Journal of Financial Markets. | 2023 | Journal of Financial Markets | - | - | |
| Lee, C., Sun, S.T., Wang, R. & Zhang, R. (2023). Technological Links and Predictable Returns. Review of Financial Studies. | 2023 | Review of Financial Studies | - | - | |
| Lof, M. & van Bommel, J. (2023). Asymmetric information and the distribution of trading volume. Journal of Corporate Finance, 82, 102464. | 2023 | Journal of Corporate Finance | - | - | |
| Frankel, Jennings & Lee (2022) *RAST*: "Disclosure Sentiment: Machine Window: 2002-2020 (Frankel-Jennings-Lee) | 2022 | RAST | - | - | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| Caldara-Iacoviello 2022 AER. Window: 1985-2018 (Caldara-Iacoviello) | 2022 | AER | - | ~5%/yr on exposed firms | |
| Maksimovic-Kogan 2022 + Saunders-Mira-Park 2021 (SSRN 3777571). Window: 2015-2022 | 2022 | WP | - | 3-5%/yr | |
| Bochkay, Chychyla, Sarkar & Stuart (2022), Review of Accounting Studies. Window: 8-K event windows | 2022 | RAST | - | - | |
| 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 | - | - | |
| Internal heuristic. Implements only the 10b5-1 plan CANCELLATION/termination -> LONG leg (insiders abandon the safe harbor ahead of good news; insider-abstention literature). The cited Larcker-Lynch-Tayan 2021 'Gaming the System' documents red-flag plan ADOPTIONS -> short, which requires plan-schedule data we do not ingest and is NOT implemented here. | 2021 | - | - | - | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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. (Thematic mechanism origin only: documents sales-growth network passthrough from disrupted suppliers to downstream firms; does NOT study sanctions, equity returns, or a trading window.) Window: T+1 to T+90d | 2021 | Quarterly Journal of Economics | - | - | |
| 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 | |
| Brown-Davies-Ringgenberg 2021 RFS -- ETF Arbitrage, Non-Fundamental Demand, and Return Predictability. Window: 2005-2019 (Brown-Davies-Ringgenberg) | 2021 | Review of Financial Studies | - | - | |
| Hou, K., Mo, H., Xue, C., & Zhang, L. (2021). An Augmented q-Factor Model with Expected Growth. Review of Finance, 25(1), 1-41. | 2021 | Review of Finance | - | ~0.84%/month (t=10.3) for the Eg factor | |
| #46 lazy_prices — Cohen-Malloy-Nguyen 2020. Window: 1995-2014 | 2020 | - | ~0.4 OOS | ~22% ann. L/S (Cohen-Malloy-Nguyen 2020) | |
| #48 crowding_reversal — Wardlaw 2020 fund-flow induced trading. | 2020 | - | - | - | |
| #12 Idiosyncratic / Residual Momentum (Blitz, Hanauer, Vidojevic 2020). | 2020 | - | - | - | |
| #40 max_drawdown_premium: loosely inspired by Atilgan, Bali, Demirtas & Gunaydin 2020, "Left-tail momentum: Underreaction to bad news, costly arbitrage and equity returns", JFE 135(3):725-753. Note: the paper finds the OPPOSITE direction (high left-tail-risk stocks continue to underperform); this family is a time-series drawdown-recovery rule, not the paper's strategy. | 2020 | JFE | - | Paper: high left-tail-risk (VaR/ES) deciles earn significantly NEGATIVE subsequent alpha (left-tail momentum). Implemented rebound sleeve: ~2-3% ann. residual after distress controls (contested; overlaps distress/O-score). | |
| Cohen, Malloy & Nguyen 2020, Journal of Finance, 'Lazy Prices' Window: 1995-2014 | 2020 | JF | - | ~188 bps/month short-leg underperformance (Cohen-Malloy-Nguyen 2020) | |
| #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) | |
| #86 crowded_long_unwind — mirror of short_squeeze on the long side; Lou-Polk 2020 'crowdedness'. | 2020 | RFS | - | - | |
| 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 | |
| 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% | |
| 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) | |
| 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 | |
| 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 | |
| Bollerslev, Li & Zhao (2020) JFQA; Patton & Sheppard (2015) REStat. Window: Daily equity data | 2020 | JFQA | - | - | |
| Boons, M., Duarte, F., de Roon, F., Szymanowska, M. (2020). Time-Varying Inflation Risk and Stock Returns. Journal of Financial Economics 136(2), 444-470. Window: Modern daily equity data | 2020 | Journal of Financial Economics | - | - | |
| Asness, C., Frazzini, A., Gormsen, N. J., Pedersen, L. H. (2020). Betting Against Correlation. Journal of Financial Economics 135(3), 629-652. Window: Modern daily equity data | 2020 | Journal of Financial Economics | - | - | |
| Bollerslev, T., Li, S. Z., & Zhao, B. (2020). Good Volatility, Bad Volatility, and the Cross Section of Stock Returns. Journal of Financial and Quantitative Analysis; Moreira, A., & Muir, T. (2017). Volatility-Managed Portfolios. Journal of Finance. | 2020 | Journal of Financial and Quantitative Analysis | - | - | |
| Asness, C.S., Frazzini, A., Pedersen, L.H. (2019). "Quality Minus Junk." Review of Accounting Studies, 24, 34-112. (Loose single-name proxy; see mechanism.) Window: 1956-2016 | 2019 | - | 0.6-0.9 (AFP 2019, on the paper's cross-sectional L/S composite; not this proxy's construction) | - | |
| #94 overnight_intraday_decomp — Lou-Polk-Skouras 2019 RFS overnight-return premium. Window: 1993-2017 | 2019 | RFS | - | 8-12% ann. quintile spread; ~4% OOS | |
| 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 | |
| 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 | |
| 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% | |
| 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% | |
| 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 | |
| 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 | |
| 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) | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| Born-Myers-Clark 2017 (tweet-event studies on named firms) + Ge-Kurov-Wolfe 2019 (presidential tweets on individual stocks). Window: 2017-present (TT+TS stitch) | 2019 | JFR | - | - | |
| Piotroski 2000 JAR -- Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers; Asness-Frazzini-Pedersen 2019 JFE -- Quality Minus Junk. Window: 1976-1996 (Piotroski); 1956-2012 (QMJ) | 2019 | Journal of Financial Economics | - | ~23% ann. long-short (QMJ Asness-Frazzini-Pedersen) | |
| Wang, B. (2019). The Cash Conversion Cycle Spread. Journal of Financial Economics, 133(2), 472-497. | 2019 | Journal of Financial Economics | - | - | |
| Bali, T. G., Hu, J. & Murray, S. (2019). Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns. SSRN 2322945. | 2019 | - | - | - | |
| Huang, T. & Li, J. (2019). Option-Implied Variance Asymmetry and the Cross-Section of Stock Returns. Journal of Financial Markets. | 2019 | Journal of Financial Markets | - | - | |
| #116 usd_factor_betas — Verdelhan 2018 JF — DXY beta sorts; multinationals short DXY, domestics long. | 2018 | - | - | ~1-2% ann. (USD-beta decile spread) | |
| #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% | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| Mian, A., Sufi, A. (2014). "House of Debt." Greenwald, D. L. (2018). "The Mortgage Credit Channel of Macroeconomic Transmission." Review of Financial Studies. Window: T+1 to T+60d | 2018 | Review of Financial Studies | - | -5 to -8% over 60d (housing cohort) | |
| Verdelhan, A. (2018). "The Share of Systematic Variation in Bilateral Exchange Rates." Journal of Finance 73(1), 375-418. Window: T+1 to T+42d | 2018 | Journal of Finance | - | +/-3-5% over 42d | |
| Bhattacharya-Galpin-Ray-Yu 2018 + earlier securities-class-action event studies. Window: 2010-present (RECAP coverage) | 2018 | JFE | - | 2-6%/yr | |
| Donaldson-Hornbeck 2016 (trade infrastructure) + Brooks-Sandeep 2018 (satellite-derived shipping as leading indicator). Sentinel-2 ESA free-tier specialization. Window: 2015-present (Sentinel-2 launch) | 2018 | WP | - | 1-3%/yr | |
| Baltussen, G., van Bekkum, S., & van der Grient, B. (2018). Unknown Unknowns: Uncertainty About Risk and Stock Returns. JFQA, 53(4), 1615-1651. Window: Modern daily equity data | 2018 | JFQA | - | - | |
| Engelberg-Reed-Ringgenberg 2018 RFS -- Short-Selling Risk. Window: 2004-2014 (Engelberg-Reed-Ringgenberg) | 2018 | Review of Financial Studies | - | - | |
| Ben-David-Franzoni-Moussawi 2018 JFE -- Do ETFs Increase Volatility? Window: 2000-2012 (Ben-David-Franzoni-Moussawi) | 2018 | Journal of Finance | - | - | |
| Engelberg, Reed & Ringgenberg 2018; Drechsler & Drechsler 2014 | 2018 | Review of Financial Studies | - | - | |
| Weber, M. (2018). Cash Flow Duration and the Term Structure of Equity Returns. Journal of Financial Economics, 128(3), 486-503. | 2018 | Journal of Financial Economics | - | - | |
| Gao, L., Han, Y., Li, S. Z., & Zhou, G. (2018). Market Intraday Momentum. Journal of Financial Economics. | 2018 | Journal of Financial Economics | - | - | |
| Black, D.E., Christensen, T.E., Ciesielski, J.T. & Whipple, B.C. (2018). Non-GAAP reporting: Evidence from academia and current practice. Journal of Business Finance & Accounting, 45(3-4), 259-294. | 2018 | Journal of Business Finance & Accounting | - | - | |
| Peters, R. H. and Taylor, L. A. (2017), 'Intangible Capital and the Investment-q Relation', Journal of Financial Economics 123(2), 251-272; Eisfeldt, A. L., Kim, E. T. and Papanikolaou, D. (2020), 'Intangible Value', NBER Working Paper 28056 (published in Critical Finance Review, 2022) Window: US Compustat, 1975 onward (post-SFAS No. 2 R&D disclosure; intangible-adjusted HML per EKP) | 2017 | Journal of Financial Economics | - | - | |
| 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 | |
| Eraker, B., & Wu, Y. (2017). "Explaining the Negative Returns to Volatility Claims: An Equilibrium Approach." Journal of Financial Economics, 125(1), 72-98. Window: T+1 to T+21d | 2017 | Journal of Financial Economics | ~0.8 | ~5-12%/yr short-vol carry | |
| 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 | |
| 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 | |
| #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) | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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) | |
| 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 | |
| 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 | |
| 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 | |
| Larcker, D. F., Ormazabal, G., Taylor, D. J. (2017). Jagolinzer, A. (2009). "SEC Rule 10b5-1 and Insiders' Strategic Trade." Management Science. Window: T+1 to T+180d | 2017 | Management Science | - | -4 to -7% over 90-180d | |
| Bartov-Konchitchki 2017 The Accounting Review. Window: 1995-2014 (Bartov-Konchitchki) | 2017 | The Accounting Review | ~0.6-0.8 | 12m CAR -8% to -12% | |
| Kogan-Papanikolaou-Seru-Stoffman 2017 QJE -- Technological Innovation, Resource Allocation, and Growth. Window: 1926-2010 (KPSS) | 2017 | Quarterly Journal of Economics | - | ~4-6% ann. | |
| Vasquez, A. (2017). Equity Volatility Term Structures and the Cross Section of Option Returns. Journal of Financial and Quantitative Analysis, 52(6), 2727-2754. | 2017 | Journal of Financial and Quantitative Analysis | - | - | |
| Vasquez 2017 | 2017 | - | - | - | |
| Akbas, F., Jiang, C., & Koch, P. D. (2017). The Trend in Firm Profitability and the Cross-Section of Stock Returns. The Accounting Review, 92(5), 1-32. | 2017 | The Accounting Review | - | - | |
| #33 cash_operating_profitability — Ball-Gerakos-Linnainmaa-Nikolaev 2016. Window: 1963-2014 (Ball-Gerakos-Linnainmaa-Nikolaev) | 2016 | - | - | - | |
| Daniel-Moskowitz (2016, JFE) "Momentum Crashes" + Asness-Frazzini- | 2016 | JFE | - | - | |
| #41 speculative_beta — Hong-Sraer 2016 speculative betas. Window: 1980-2002 (Hong-Sraer) | 2016 | JF | - | - | |
| #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 | |
| Borisov, A., Goldman, E., & Gupta, N. (2016). "The Corporate Value of (Corrupt) Lobbying." Review of Financial Studies, 29(4), 1039-1071. Window: T+1 to T+180d | 2016 | Review of Financial Studies | ~0.5 | ~4-8%/yr | |
| 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 | |
| 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 | |
| #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 | |
| Internally-motivated heuristic (no academic source). Originally mis-cited to Hwang, T.J. & Stevens, A.J. (2016), Nature Biotechnology 34(4):372-378, which is a descriptive bibliometric review and supports no part of this trading rule. Window: T+1 to T+60d | 2016 | Nature Biotechnology | - | - | |
| 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) | |
| 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 | |
| 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 | |
| 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 | |
| Bhandari-Iliev-Kalodimos 2022 + Borisov-Goldman-Gupta 2016 RFS. Window: 1998-2008 (Borisov-Goldman-Gupta) | 2016 | RFS | - | - | |
| Drechsler-Drechsler 2016 RFS -- Shorting at Close Range: A Tale of Two Types. Window: 2005-2011 (Drechsler-Drechsler) | 2016 | Review of Financial Studies | - | - | |
| Hoberg-Phillips 2016 JPE -- Text-Based Network Industries and Endogenous Product Differentiation. Window: 1996-2011 (Hoberg-Phillips) | 2016 | Journal of Political Economy | - | - | |
| Keloharju, M., Linnainmaa, J. T., & Nyberg, P. (2016). Return Seasonalities. Journal of Finance, 71(4), 1557-1590. | 2016 | Journal of Finance | - | - | |
| Bogousslavsky, V. (2016). Infrequent Rebalancing, Return Autocorrelation, and Seasonality. Journal of Finance; Lou, D., Polk, C., & Skouras, S. (2019). A Tug of War: Overnight Versus Intraday Expected Returns. Journal of Financial Economics. | 2016 | Journal of Finance | - | - | |
| Lopez de Prado, M. (2016). Building Diversified Portfolios that Outperform Out-of-Sample. Journal of Portfolio Management. | 2016 | Journal of Portfolio Management | - | - | |
| Hoberg, G., & Phillips, G. (2016). Text-Based Network Industries and Endogenous Product Differentiation (TNIC). Journal of Political Economy, 124(5). | 2016 | Journal of Political Economy | - | - | |
| #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 | |
| deHaan, Shevlin & Thornock 2015, J. Acc. Econ. Window: 1986-2007 (DellaVigna-Pollet) | 2015 | JAE | ~0.4 Sharpe boost on PEAD short side | - | |
| 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 | |
| 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 (motivating reference: forced-turnover subset mechanics only, not the source of any full-population 5.02 CAR). Also Eisfeldt-Kuhnen 2013 "CEO Turnover in a Competitive Assignment Framework." Window: n/a for full population; implementation uses T+1 entry with 20/60/90d holds | 2015 | Journal of Financial Economics | - | none on full 5.02 population (paper studies forced-turnover subset mechanics); the previously listed ~-3% CAR over 60d is an unverified in-house proxy assumption | |
| 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% | |
| 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 | |
| Autore, D.M., Boulton, T.J., Braga-Alves, M.V. (2015). "Failures to Deliver, Short Sale Constraints, and Stock Overvaluation." The Financial Review, 50(2), 143-172. Window: post-inclusion reversal window (implementation holds T+1 to T+5/T+10) | 2015 | The Financial Review | - | Overvaluation at threshold inclusion with subsequent reversal (negative abnormal returns), strongest where short constraints bind (ABB 2015); no per-window % figure claimed | |
| 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: pre-event: ~24h before each scheduled FOMC announcement (implemented as entries on T-3/T-2/T-1, exit at announcement-day close) | 2015 | Journal of Finance | - | +49 bps avg SPX excess return in the ~24h pre-announcement window per scheduled FOMC (1994-2011); roughly 80% of the annual equity premium accrues in these windows, no post-announcement reversal | |
| 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 | |
| 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 | |
| Iliev, P., Lins, K. V., Miller, D. P., Roth, L. (2015). "Shareholder Voting and Corporate Governance Around the World." Review of Financial Studies 28(8), 2167-2202. Window: T+1 to T+180d | 2015 | Review of Financial Studies | - | +2 to +5% over 6mo | |
| Bebchuk, L. A., Brav, A., Jiang, W. (2015). "The Long-Term Effects of Hedge Fund Activism." Review of Financial Studies 28(11), 2723-2768. Window: T+1 to T+365d | 2015 | Review of Financial Studies | - | +5-8% over 6-12mo | |
| Hong, H., Li, F.W., Ni, S.X., Scheinkman, J.A., Yan, P. (2015). Days to Cover and Stock Returns. NBER WP 21166. Window: Modern daily equity data | 2015 | WP | - | - | |
| #22 Microstructure / OFI (Cont, Kukanov, Stoikov 2014) — vendor-blocked skeleton. | 2014 | - | - | - | |
| 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) | |
| Belo, Lin & Bazdresch (2014) *J. Acc. Econ.* — "Labor hiring, investment, Window: 2001-2020 | 2014 | JAE | - | - | |
| #16 BAB — Betting Against Beta (Frazzini & Pedersen 2014). Window: 1926-2012 | 2014 | - | 0.7 (Frazzini-Pedersen 2014); 0.4 OOS | - | |
| #119 risk_factor_10k_item1a_delta — Campbell-Chen-Dhaliwal-Lu-Steele 2014 AR — Item 1A risk-factor delta. | 2014 | - | - | ~2% over 3m | |
| 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 | |
| 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 | |
| Bollerslev, T., Marrone, J., Xu, L., Zhou, H. (2014). "Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence." Journal of Financial and Quantitative Analysis, 49(3), 633-661. Window: 2000-2011 | 2014 | Journal of Financial and Quantitative Analysis | - | R2 peaks at 2-4mo horizon | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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) | |
| None (internal signal). The prior Carcello, Hermanson & Ye (2014, Auditing: A Journal of Practice & Theory) citation was removed: that paper is a corporate-governance literature survey containing no analyst-Q&A-tone signal, window, direction, or return prediction. The direction of this family is consistent with, but not a replication of, the earnings-call analyst-tone literature (e.g. Brockman, Li & Price 2015, 'Differences in Conference Call Tones: Managers versus Analysts,' Financial Analysts Journal 71(4), 24-42) and tone-dispersion work. Window: T+1 to T+60d | 2014 | Auditing: A Journal of Practice & Theory | - | ~2-3% over 30-60d on top-quartile aggression | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| Original hypothesis (no academic source). Previously mis-cited to Fotak, Raman & Yadav (2014), Journal of Financial Economics 114, 493-516, a market-quality study finding greater FTDs improve liquidity and pricing efficiency; it documents no negative post-FTD drift and supports no part of this trading rule. Window: T+1 to T+20d | 2014 | Journal of Financial Economics | - | - | |
| In-house demand-momentum hypothesis (no supporting paper). Contrarian benchmark: Belo, F., Lin, X., Bazdresch, S. (2014). "Labor Hiring, Investment, and Stock Return Predictability in the Cross Section." Journal of Political Economy, 122(1), 129-177. Window: T+45d to T+63d after publication | 2014 | Journal of Political Economy | - | +2-4% over 21-63d | |
| Inspired by Bailey & Lopez de Prado 2014 (J. Portfolio Management, Deflated Sharpe Ratio) and Lopez de Prado 2018 'Advances in Financial ML' Ch.7 (cross-validation); both statistical gates are implemented as documented simplified proxies, not the full methods (see mechanism). Window: Per-ticker holdback (last ~252 bars) | 2014 | Journal of Portfolio Management | - | - | |
| Anton-Polk 2014 RFS (13F mutual-fund variant). Window: 1980-2008 (Anton-Polk) | 2014 | RFS | ~1.0 | ~9%/yr | |
| Carley-Lindsey 2014 (Journal of Empirical Finance) + Tigers-Lee-Kerber 2020. USPTO trademark filings as a forward-looking innovation signal. Window: 1985-2010 (Carley-Lindsey) | 2014 | Journal of Empirical Finance | - | 1-3%/yr (Carley-Lindsey 2014) | |
| Anton, M., & Polk, C. (2014). Connected Stocks. Journal of Finance, 69(3). | 2014 | Journal of Finance | - | - | |
| An, B.-J., Ang, A., Bali, T. G. & Cakici, N. (2014). The Joint Cross Section of Stocks and Options. Journal of Finance, 69(5), 2279-2337. | 2014 | Journal of Finance | - | - | |
| Anton & Polk 2014, Connected Stocks | 2014 | Review of Financial Studies | - | - | |
| An-Ang-Bali-Cakici 2014 | 2014 | - | - | - | |
| An-Ang-Bali-Cakici 2014; Vasquez 2017; Conrad-Dittmar-Ghysels 2013 | 2014 | - | - | - | |
| #38 novy_marx_gross_profitability — Novy-Marx 2013. Window: 1963-2010 | 2013 | - | - | spread narrowed 30-50% but sign intact | |
| Chen, Parsley & Yang 2010 + follow-ups Window: 1998-2008 | 2013 | SSRN | - | ~6%/yr top-vs-bottom quintile (Chen-Parsley-Yang 2010) | |
| #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) | |
| #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 | |
| #111 patent_class_drift — Cohen-Diether-Malloy 2013 RFS misvaluing innovation. Window: 1985-2010 | 2013 | RFS | - | 7-9% ann. over 1-2y holding | |
| #123 sec_comment_letter_drift — Cassell-Dreher-Myers 2013 — SEC comment letter receipt. | 2013 | - | - | ~2-4% over 12m | |
| Original Alphactor thesis. Related literature (motivation only, does not document this signal): Belo, F., Gala, V. D., & Li, J. (2013). "Government Spending, Political Cycles, and the Cross Section of Stock Returns." Journal of Financial Economics, 107(2), 305-324. Window: n/a (original thesis; the related paper documents presidential-term regime returns, not a T+1..T+90d event window) | 2013 | Journal of Financial Economics | n/a (original thesis; the previous ~0.7 was not a finding of any cited paper) | None documented for this signal (original thesis). Related Belo-Gala-Li 2013 finding: firms in high government-spending-exposure industries earn ~6.9%/yr more during Democratic presidencies (cross-sectional LONG factor, no contract-level mechanism). | |
| 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) | |
| 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) | |
| 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 | |
| Lou-Yan-Zhang 2013 J. Finance / Fleming-Liu 2016 FRBNY working paper. Window: 1999-2010 (Lou-Yan-Zhang) | 2013 | JF | ~0.4-0.6 | 3-4 bps per cycle (Lou-Yan-Zhang) | |
| Belo, Gala & Li (2013), "Government Spending, Political Cycles, and the Cross Section of Stock Returns", Journal of Financial Economics 107(2), 305-324. Loose inspiration only; this family is a heuristic proxy, not a replication. Window: 1955-2009 (extended 1929-2009) | 2013 | JFE | - | - | |
| Hirshleifer-Hsu-Li 2013 JFE + Cohen-Diether-Malloy 2013 RFS. Window: 1981-2008 (Hirshleifer-Hsu-Li) | 2013 | JFE | - | 12-15%/yr top decile (own-firm) | |
| Larcker-So-Wang 2013 JFE + Cohen-Frazzini-Malloy 2008 JF. Window: 2000-2010 (Larcker-So-Wang) | 2013 | JFE | - | 4-6%/yr top-centrality | |
| Cohen-Diether-Malloy 2013 (Twitter-style attention) adapted to GPO Congressional Record. Window: decades (GPO CREC) | 2013 | JF | - | - | |
| Novy-Marx 2013 JFE -- The Other Side of Value: The Gross Profitability Premium; Sloan 1996 AR -- Do Stock Prices Fully Reflect Information in Accruals? Window: 1963-2010 (Novy-Marx); 1962-1991 (Sloan) | 2013 | Journal of Financial Economics | - | ~3% ann. (GP leg); ~5-10% (accrual short leg) | |
| Cohen-Diether-Malloy 2013 RFS -- Misvaluing Innovation. Window: 1980-2006 (Cohen-Diether-Malloy) | 2013 | Review of Financial Studies | - | ~3-5% ann. long-leg | |
| Hirshleifer-Hsu-Li 2013 JFE -- Innovative Efficiency and Stock Returns. Window: 1981-2009 (Hirshleifer-Hsu-Li) | 2013 | Journal of Financial Economics | - | ~6% ann. long-short (Hirshleifer-Hsu-Li) | |
| Edmans, Fang & Zur 2013, The Effect of Liquidity on Governance | 2013 | Review of Financial Studies | - | - | |
| Conrad, J., Dittmar, R. F. & Ghysels, E. (2013). Ex Ante Skewness and Expected Stock Returns. Journal of Finance, 68(1), 85-124. | 2013 | Journal of Finance | - | - | |
| #11 TSMOM — Time-Series Momentum (Moskowitz, Ooi, Pedersen 2012). Window: 1985-2009 | 2012 | - | 0.7-1.0 (1985-2009); ~0.3 single-stock OOS | - | |
| Cohen, Malloy & Pomorski 2012, Journal of Finance, 'Decoding Inside Information' Window: 1996-2009 | 2012 | JF | - | 82bps/month VW alpha (Cohen-Malloy-Pomorski 2012) | |
| #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 | |
| #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 | |
| #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 | |
| #120 legal_proceedings_item3_delta — Kim-Skinner 2012 JFE — Item 3 litigation disclosure shifts. | 2012 | - | - | ~1-2% over 6m | |
| 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 | |
| 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 | |
| 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% | |
| 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 | |
| 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 | |
| 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 | |
| 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) | |
| 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) | |
| 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) | |
| 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) | |
| 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 | |
| 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 | |
| Cohen, L., Malloy, C., Pomorski, L. (2012). "Decoding Inside Information." Journal of Finance 67(3), 1009-1043. Window: T+1 to T+180d | 2012 | Journal of Finance | - | +6 to +10% over 6mo | |
| Cohen, L., Malloy, C., Pomorski, L. (2012). "Decoding Inside Information." Journal of Finance 67(3), 1009-1043 (dollar-weighted extension). Window: T+1 to T+180d | 2012 | Journal of Finance | - | +4-6% over 6mo (vs count-only cluster) | |
| Cohen, L., Malloy, C., Pomorski, L. (2012). Decoding Inside Information. Journal of Finance 67(3): 1009-1043 (paper_url DOI). Signal construction (distinct Form 144 filer count within a 30-day window) additionally informed by Henderson, Jagolinzer, Muller (2015), working paper on strategic Form 144 / Rule 10b5-1 sale disclosure. Window: T+1 to T+180d | 2012 | Journal of Finance | - | -3-5% over 90d (papers' SHORT direction; shipped implementation intentionally trades the inverse LONG) | |
| Johnson, T. L., & So, E. C. (2012). The option to stock volume ratio and future returns. Journal of Financial Economics, 106(2), 262-286. Window: Modern daily equity data | 2012 | Journal of Financial Economics | - | - | |
| Mayew-Venkatachalam 2012 TAR -- The Power of Voice: Managerial Affective States and Future Firm Performance. Window: 2007-2011 (Mayew-Venkatachalam) | 2012 | The Accounting Review | - | - | |
| Larcker-Zakolyukina 2012 JAR -- Detecting Deceptive Discussions in Conference Calls. Window: 2003-2010 (Larcker-Zakolyukina) | 2012 | Journal of Accounting Research | - | - | |
| Cohen, Malloy & Pomorski 2012; Lakonishok & Lee 2001 | 2012 | Review of Financial Studies | - | - | |
| Berkman, H., Koch, P. D., Tuttle, L., & Zhang, Y. J. (2012). Paying Attention: Overnight Returns and the Hidden Cost of Buying at the Open. Journal of Financial and Quantitative Analysis; Lou, D., Polk, C., & Skouras, S. (2019). A Tug of War: Overnight Versus Intraday Expected Returns. Journal of Financial Economics. | 2012 | Journal of Financial and Quantitative Analysis | - | - | |
| Engelberg, Reed & Ringgenberg 2012, How are shorts informed? | 2012 | Journal of Financial Economics | - | - | |
| #15 MAX / lottery filter — Bali, Cakici, Whitelaw 2011. Window: 1962-2005 | 2011 | - | - | ~1%/month L/S (Bali-Cakici-Whitelaw 2011) | |
| #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 | |
| #10 wikipedia_attention_spike — Da-Engelberg-Gao 2011 + Pyun 2024. Window: 2008-2022 (Pyun) | 2011 | JF | - | - | |
| Loughran-McDonald 2011, Demers et al. 2021 (Frontiers in AI): the | 2011 | - | - | - | |
| We use a small curated subset of Loughran-McDonald (2011) finance dict | 2011 | JF | - | - | |
| Loughran-McDonald 2011, Price et al. 2012: changes in management's | 2011 | - | - | - | |
| 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) | |
| #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 | |
| 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 | |
| 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. | |
| 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% | |
| 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% | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| Brave, S., Butters, R. A. (2011). "Monitoring Financial Stability: A Financial Conditions Index Approach." Federal Reserve Bank of Chicago Economic Perspectives. Window: T+1 to T+42d | 2011 | Federal Reserve Bank of Chicago | - | +/-3 to +/-4% over 42d | |
| Da-Engelberg-Gao 2011 JF. Window: 2004-2008 (Da-Engelberg-Gao) | 2011 | JF | 0.5-0.8 | +1.5% / -1.0% | |
| Trial-failure analog of Rothenstein-Tomlinson-Tannock-Detsky 2011 JCO PDUFA-CRL paper. Window: 1999-2009 (Rothenstein-Tomlinson) | 2011 | JCO | - | ~-25% drift (PDUFA-CRL analog) | |
| Ziobrowski-Boyd-Cheh-Ziobrowski 2011 + Eggers-Hainmueller 2013. Window: 1985-2001 (Ziobrowski) | 2011 | B&P | - | 6-12%/yr (single-trader) | |
| Da-Engelberg-Gao 2011 JF (attention as alpha) adapted to political-speech firehose. Falsification companion to trump_tariff_tone. Window: 2017-present (TT+TS stitch) | 2011 | Journal of Finance | - | - | |
| Da-Engelberg-Gao 2011 JF (attention-as-alpha) applied to high-frequency consumer activity panel. Window: 2020-03 onward | 2011 | JF | - | 0.5-2%/yr | |
| Blitz, D., Huij, J., & Martens, M. (2011). Residual Momentum. Journal of Empirical Finance, 18(3), 506-521. | 2011 | Journal of Empirical Finance | - | - | |
| Petajisto, A. (2011). The index premium and its hidden cost for index funds. Journal of Empirical Finance, 18(2), 271-288. Chen, H., Noronha, G., Singal, V. (2004). The Price Response to S&P 500 Index Additions and Deletions. Journal of Finance, 59(4). | 2011 | Journal of Empirical Finance | - | - | |
| #35 industry_lead_lag — Menzly-Ozbas 2010 customer-supplier lead-lag. | 2010 | JF | - | - | |
| 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 | - | - | - | |
| Hollander-Pronk-Roelofsen 2010, Matsumoto-Pronk-Roelofsen 2011: longer | 2010 | - | - | - | |
| Cohen, Polk & Silli 2010 + Frazzini-Kabiller-Pedersen 2018 'Buffett's Alpha' Window: 1991-2005 | 2010 | SSRN | - | 4-9% ann. (Cohen-Polk-Silli 2010) | |
| 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 | - | - | |
| 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) | |
| #122 def14a_comp_shift — Bebchuk-Cohen-Spamann 2010 / Larcker-Tayan 2015. | 2010 | - | - | ~1% over 6m | |
| Cremers, M., & Weinbaum, D. (2010). "Deviations from Put-Call Parity and Stock Return Predictability." Journal of Financial and Quantitative Analysis, 45(2), 335-367. Window: T+1 to T+21d | 2010 | Journal of Financial and Quantitative Analysis | ~0.6 | ~3-7%/yr | |
| 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. | |
| 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% | |
| 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 | |
| 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 | |
| Anderson, C.W. & Zhang, Y. (2010). "Security market reaction to FDA fast track designations." Journal of Health Care Finance, 37(2), 27-48. Window: T+1 to T+60d | 2010 | Journal of Health Care Finance | - | Positive announcement-window abnormal returns and volume (100+ fast-track designations, 1998-2004); the prior +5% event-day / +8% over-60d figures were unsupported by the previously cited BMJ 2017 paper and are removed. | |
| 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 | |
| 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 | |
| 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 | |
| Martin, G.S. & Puthenpurackal, J. (2008). "Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway." SSRN 806246; Verbeek, M. & Wang, Y. (2013). "Better than the original? The relative success of copycat funds." Journal of Banking & Finance. Motivating (not implemented) reference: Cohen, R.B., Polk, C., Silli, B. (2010). "Best Ideas." SSRN 1364827. Window: Entry at quarter-end + 45-day filing lag; 60/90/180 trading-day holds (implementation grid; copycat literature studies post-disclosure horizons of months to quarters). | 2010 | Review of Financial Studies | - | Significant positive post-disclosure abnormal return for a Berkshire-clone portfolio (Martin-Puthenpurackal 2008); CPS's ~3-4%/yr max-active-weight figure is not applicable to this new-add coattail. | |
| 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 | |
| Menzly-Ozbas 2010 JF -- Market Segmentation and Cross-predictability of Returns. Window: 1980-2004 (Menzly-Ozbas) | 2010 | Journal of Finance | - | ~2% 10-day abnormal return | |
| Heston, S. L., Korajczyk, R. A., & Sadka, R. (2010). Intraday Patterns in the Cross-Section of Stock Returns. Journal of Finance; Bogousslavsky, V. (2016). Infrequent Rebalancing, Return Autocorrelation, and Seasonality. Journal of Finance. | 2010 | Journal of Finance | - | - | |
| Xing-Zhang-Zhao 2010; Conrad-Dittmar-Ghysels 2013 | 2010 | - | - | - | |
| Bollerslev, Tauchen & Zhou (2009), "Expected Stock Returns and Variance Risk Premia", Review of Financial Studies 22(11), 4463-4492. Window: 1990-2007 | 2009 | - | 1.0 conditional (Bollerslev-Tauchen-Zhou 2009) | ~6%/yr unconditional | |
| #42 meta_equal_weight — DeMiguel-Garlappi-Uppal 2009 1/N over alpha sleeves. | 2009 | RFS | - | - | |
| Literature: Boehmer-Huang-Jiang 2010 ("Short Sellers Are Informed"), Window: 1980-2005 (Boehmer-Huang-Jiang) | 2009 | - | - | - | |
| #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 grade lift system-wide | |
| Bollerslev, T., Tauchen, G., & Zhou, H. (2009). "Expected Stock Returns and Variance Risk Premia." Review of Financial Studies, 22(11), 4463-4492. Window: T+1 to T+21d | 2009 | Review of Financial Studies | ~0.5 | ~3-5%/yr regime-timed | |
| Whaley, R. E. (2009). "Understanding the VIX." Journal of Portfolio Management, 35(3), 98-105. Window: T+1 to T+42d | 2009 | Journal of Portfolio Management | ~0.6 | ~8-15% per signal event | |
| Bali, T. G., & Hovakimian, A. (2009). "Volatility Spreads and Expected Stock Returns." Management Science, 55(11), 1797-1812. + Bollerslev, T., Tauchen, G., & Zhou, H. (2009). RFS 22(11). Window: T+1 to T+42d | 2009 | Management Science | ~0.7 | ~5-8%/yr | |
| Bali, T. G., & Hovakimian, A. (2009). "Volatility Spreads and Expected Stock Returns." Management Science, 55(11), 1797-1812. Window: T+1 to T+42d | 2009 | Management Science | ~0.5 | ~3-6%/yr | |
| 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% | |
| 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 | |
| Lichtenberg, F.R. & Waldfogel, J. (2003). "Does Misery Love Company? Evidence from pharmaceutical markets before and after the Orphan Drug Act." NBER Working Paper No. 9750. Window: T+1 to T+120d | 2009 | NBER Working Paper | - | n/a (paper has no equity finding) | |
| 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 | |
| Brunnermeier, M., Pedersen, L. H. (2009). "Market Liquidity and Funding Liquidity." Review of Financial Studies 22(6), 2201-2238. Window: T+1 to T+21d | 2009 | Review of Financial Studies | - | -3% over 21d high-beta | |
| You, H. & Zhang, X.-J. (2009). Financial reporting complexity and investor underreaction to 10-K information. Review of Accounting Studies, 14(4), 559-586. | 2009 | Review of Accounting Studies | - | - | |
| Bali-Hovakimian 2009; Bollerslev-Tauchen-Zhou 2009 | 2009 | - | - | - | |
| Goyal-Saretto 2009; Vasquez 2017 | 2009 | - | - | - | |
| 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) | |
| Kogan, Papanikolaou, Seru & Stoffman 2017, QJE (extended to 2024) Window: 1926-2010 | 2008 | QJE | - | 3-5% ann. L/S (KPSS 2017 QJE) | |
| #95 asset_growth_anomaly — Cooper-Gulen-Schill 2008 RFS investment-anomaly leg. Window: 1968-2003 | 2008 | RFS | - | ~8% ann. decile spread; ~3-4% OOS | |
| 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 | |
| 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 | |
| Cohen, L., & Frazzini, A. (2008). "Economic Links and Predictable Returns." Journal of Finance, 63(4), 1977-2011. Window: T+1 to T+63d | 2008 | Journal of Finance | ~0.6 | ~3-6%/yr | |
| Cohen, L., & Frazzini, A. (2008). Economic Links and Predictable Returns. JF 63:4. (Generalized to forward guidance text.) Window: T+1 to T+63d | 2008 | Journal of Finance | ~0.6 | ~3-7%/yr | |
| Cohen, L., & Frazzini, A. (2008). Economic Links and Predictable Returns. JF 63:4. Window: T+1 to T+63d | 2008 | Journal of Finance | ~0.6 | ~3-7%/yr | |
| 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 | |
| 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 | |
| Bessen, J., Meurer, M. (2008). "Patent Litigation." Journal of Economic Perspectives. Window: T+0 to T+90d | 2008 | Journal of Economic Perspectives | - | +/-2-5% | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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) | |
| 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) | |
| 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 | |
| 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 | |
| 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 | |
| Pontiff, J., Woodgate, A. (2008). "Share Issuance and Cross-Sectional Returns." Journal of Finance 63(2), 921-945. Daniel, K., Titman, S. (2006). JF. Window: T+1 to T+252d | 2008 | Journal of Finance | - | +/-5-8% over 12mo | |
| Boehmer-Jones-Zhang 2008 RFS. Window: 2000-2004 (Boehmer-Jones-Zhang) | 2008 | RFS | - | -1.16% over 20d (top decile) | |
| Cohen-Frazzini 2008 JF (event-window). Window: 1980-2005 (Cohen-Frazzini) | 2008 | JF | - | 113 bps/mo (peer return basket) | |
| Cohen-Frazzini 2008 JF (PEAD spillover variant). Window: 1980-2005 (Cohen-Frazzini) | 2008 | JF | - | 113 bps/mo (peer return basket) | |
| Cohen-Frazzini 2008 JF (1-day event variant). Window: 1980-2005 (Cohen-Frazzini) | 2008 | JF | - | 113 bps/mo (peer return basket) | |
| Soliman 2008 TAR -- Using Industry-Adjusted DuPont Analysis to Predict Future Profitability. Window: 1984-2004 (Soliman) | 2008 | The Accounting Review | - | ~2-4% ann. incremental return | |
| Boehmer-Jones-Zhang 2008 JF -- Which Shorts Are Informed? Window: 2000-2004 (Boehmer-Jones-Zhang) | 2008 | Journal of Finance | - | - | |
| Cohen-Frazzini 2008 JF -- Economic Links and Predictable Returns. Window: 1980-2005 (Cohen-Frazzini) | 2008 | Journal of Finance | - | ~1.5% 5-day abnormal return | |
| #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 | |
| #115 shareholder_yield — Bridgeway / Boudoukh-Michaely-Richardson-Roberts 2007. | 2007 | - | - | ~3-5% ann. (combined yield decile spread) | |
| 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 | |
| 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 | |
| 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 | |
| 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) | |
| Hou, K. (2007). Industry Information Diffusion and the Lead-Lag Effect in Stock Returns. Review of Financial Studies; Cohen, L., & Frazzini, A. (2008). Economic Links and Predictable Returns. Journal of Finance. | 2007 | Review of Financial Studies | - | - | |
| Coval & Stafford 2007; Cohen, Polk & Silli 2010 | 2007 | Journal of Financial Economics | - | - | |
| #20 Pairs cointegration — Engle-Granger 2-step (Gatev, Goetzmann, Rouwenhorst 2006). | 2006 | - | - | - | |
| #34 idio_vol_puzzle — Ang-Hodrick-Xing-Zhang 2006/2009. Window: 1963-2000 (Ang-Hodrick-Xing-Zhang) | 2006 | - | - | ~-7% ann. on top-quintile IVOL | |
| Pan, J., & Poteshman, A. M. (2006). "The Information in Option Volume for Future Stock Prices." Review of Financial Studies, 19(3), 871-908. Window: T+1 to T+21d | 2006 | Review of Financial Studies | ~0.9 | ~8-12%/yr top-decile | |
| 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% | |
| 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% | |
| 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+20d (implemented holds 5/10/20d) | 2006 | FAJ | - | Futures-only term-structure premium (backwardation predicts higher commodity-futures excess returns); no equity-passthrough alpha is reported in either cited paper. | |
| 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 | |
| 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 | |
| Jegadeesh, N., Livnat, J. (2006). "Revenue Surprises and Stock Returns." Journal of Accounting and Economics 41(1-2), 147-171. Bartov, E., Givoly, D., Hayn, C. (2002). J. Accounting and Economics. Window: T+1 to T+60d | 2006 | Journal of Accounting and Economics | - | ~5-8% over 60d extreme quintiles | |
| Lemmon, Portniaguina (2006) 'Consumer Confidence and Asset Prices: Some Empirical Evidence', RFS 19(4). Secondary: Akhtar, Faff, Oliver, Subrahmanyam (2012) J Banking & Finance. NOTE: the implemented signal was an intentional deviation from this paper (see mechanism) and the family was retired 2026-06-04. Window: 1956-2002 (Lemmon-Portniaguina) | 2006 | RFS | - | ~1-1.5% quarterly on the contrarian small-minus-big leg (orthogonalized sentiment residual); direction is opposite to the implemented overlay | |
| Pirinsky-Wang 2006 JF + Cohen-Frazzini-Malloy 2010 RFS. Window: 1986-2003 (Pirinsky-Wang) | 2006 | JF | - | ~3-5%/yr comovement spread | |
| Diether-Malloy-Scherbina + Asquith-Pathak-Ritter 2005 (short-sale constraint literature) | 2005 | - | - | - | |
| #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 | |
| 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 | |
| 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 | |
| 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 | |
| Mohanram, P. S. (2005). "Separating Winners from Losers among Low Book-to-Market Stocks Using Financial Statement Analysis." Review of Accounting Studies 10(2-3), 133-170. Window: T+1 to T+180d | 2005 | Review of Accounting Studies | - | +21% top-vs-bottom within growth tertile | |
| George & Hwang (2004) and Geczy & Samonov (2015) show that the Window: 1963-2001 | 2004 | - | - | ~0.45%/month over market (George-Hwang 2004) | |
| #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 | |
| #113 capex_spike_negative — Titman-Wei-Xie 2004 JFQA — capex/sales top-decile underperformance. | 2004 | - | - | ~3-4% ann. abnormal return | |
| #124 stocktwits_bull_bear_drift — Antweiler-Frank 2004 JF — bullish-bearish ratio from message boards. | 2004 | - | - | ~1-2% over 1-5 days | |
| 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 (long-short spread) | |
| 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% | |
| 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 | |
| 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) | |
| 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) | |
| Atiase, R. K., Platt, D. E., & Tse, S. Y. (2004). "Operational Restructuring Charges and Post-Restructuring Performance." Contemporary Accounting Research, 21(3), 493-522. Window: T+1 to T+90d | 2004 | Contemporary Accounting Research | - | none published; ~-4% over 60d is an internal house target validated only by our own harness | |
| 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 | |
| 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 | |
| Antweiler-Frank 2004 JF. Window: 1999-2001 (Antweiler-Frank Yahoo Finance) | 2004 | JF | - | -5 bps next-day per s.d. | |
| 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 | |
| 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% | |
| 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% | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| Anderson, M., Banker, R., Janakiraman, S. (2003). "Are Selling, General, and Administrative Costs 'Sticky'?" Review of Accounting Studies 8(2), 47-63. Extensions: Banker-Chen 2006, Weiss 2010. Window: T+1 to T+180d post-disclosure | 2003 | Review of Accounting Studies | - | -3 to -6% over 6-12mo | |
| Bowen-Davis-Matsumoto 2002, Demers-Vega 2010: keyword markers of | 2002 | - | - | - | |
| 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) | |
| Diether, Malloy & Scherbina 2002, Journal of Finance Window: 1976-2000 | 2002 | JF | - | ~7-9% ann. L/S (Diether-Malloy-Scherbina 2002) | |
| #83 amihud_illiquidity — Amihud 2002 JFM "Illiquidity and stock returns". Window: 1963-1997 | 2002 | JFM | - | ~6 bps/month per unit-std of ILLIQ, cross-sectional (Amihud 2002); the implementation trades the paper's time-series effect, so this figure benchmarks the paper, not the deployed variant | |
| 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% | |
| Extends: Considine, T. J. (2002). "Inventories and market power in the world crude oil market." Energy Economics 24(4), 343-364. Novel refiner-equity application (alphactor 2026-05-20). Executed signal uses the paper's crude-inventory dimension (PET.WCESTUS1.W), not refinery utilization; the inventory basis is closer to the cited paper than the original utilization gloss. Window: T+1 to T+20d | 2002 | Energy Economics | - | Not reported in paper (structural crude-inventory/market-power study, no equity alpha). The prior "150-300 bps over 10-20d" figure was an internal expectation for the unimplemented utilization variant, not a paper result. | |
| 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) | |
| 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) | |
| 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 | - | ~6.38%/12mo bottom-vs-top decile spread (short leg) | |
| Sustained-short-volume squeeze proxy. FINRA daily short volume is used as a robust short-pressure proxy (literal days-to-cover requires short-interest data not in this feed). Related: 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 | |
| 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 | |
| Diether-Malloy-Scherbina 2002 JF -- Differences of Opinion and the Cross Section of Stock Returns. Window: 1983-2000 (Diether-Malloy-Scherbina) | 2002 | Journal of Finance | - | ~5.6% ann. short-side (Diether-Malloy-Scherbina) | |
| Diether, Malloy & Scherbina 2002, Differences of Opinion and the Cross Section of Stock Returns | 2002 | Journal of Finance | - | - | |
| Madhavan, A. (2002). VWAP Strategies. Journal of Portfolio Management (Transaction Performance); Bogousslavsky, V. (2016). Infrequent Rebalancing, Return Autocorrelation, and Seasonality. Journal of Finance. | 2002 | Journal of Portfolio Management | - | - | |
| Lakonishok-Lee 2001, Cohen-Malloy-Pomorski 2012: corroborated insider Window: 1992-2009 | 2001 | - | - | ~6%/yr alpha for cluster buys; 82bps/mo opportunistic | |
| 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% | |
| 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 | |
| Huson, M., Parrino, R., Starks, L. (2001). "Internal Monitoring Mechanisms and CEO Turnover: A Long-Term Perspective." Journal of Finance 56(6), 2265-2297. Bushman, R., Smith, A., Zhang, F. (2011). "Investment Cash Flow Sensitivities Really Reflect Related Investment Decisions." Journal of Accounting Research. Window: T+1 to T+180d | 2001 | Journal of Finance | - | +5 to +8% over 6-12mo | |
| Chan, L. K. C., Lakonishok, J., Sougiannis, T. (2001). "The Stock Market Valuation of Research and Development Expenditures." Journal of Finance 56(6), 2431-2456. Window: 3-year post-formation; per-event hold 63d | 2001 | Journal of Finance | - | +6.12% average annual excess return (high R&D/MV portfolio, 3-year post-formation) | |
| Field, L. C., Hanka, G. (2001). "The Expiration of IPO Share Lockups." Journal of Finance 56(2), 471-500. Ofek, E., Richardson, M. (2000). Brav-Gompers (2003) JF. Window: T+1 to T+90d post-expiry | 2001 | Journal of Finance | - | -2% at expiry, persists 30-60d | |
| Gervais, S., Kaniel, R. & Mingelgrin, D. H. (2001). The High-Volume Return Premium. Journal of Finance, 56(3), 877-919. | 2001 | Journal of Finance | - | - | |
| #92 piotroski_f_score — Piotroski 2000 JAR 9-criteria quality score. Window: 1976-1996 | 2000 | JAR | - | ~7.5% ann. long-only in value tertile | |
| 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% | |
| 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 | |
| Harvey, C. R., Siddique, A. (2000). "Conditional Skewness in Asset Pricing Tests." Journal of Finance 55(3), 1263-1295. Window: T+1 to T+126d | 2000 | Journal of Finance | - | +/-3-5% annualized | |
| Piotroski 2000 JAR -- Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers. Window: 1976-1996 (Piotroski) | 2000 | Journal of Accounting Research | - | ~7.5% ann. short return (Piotroski 2000) | |
| #17 Industry/sector momentum — Moskowitz-Grinblatt 1999. | 1999 | - | - | - | |
| #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 | |
| 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 | |
| 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) | |
| 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 | |
| Spiess, D. K., Affleck-Graves, J. (1999). "The Long-Run Performance of Stock Returns Following Debt Offerings." Journal of Financial Economics 54(1), 45-73. Window: T+1 to T+180d | 1999 | Journal of Financial Economics | - | -3 to -7% over 6-12mo | |
| Moskowitz-Grinblatt 1999 JF -- Do Industries Explain Momentum? Window: 1963-1995 (Moskowitz-Grinblatt) | 1999 | Journal of Finance | - | ~1-3% per month in top sector decile | |
| 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% | |
| 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 | |
| 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 | |
| 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 | |
| #37 sloan_accruals — Sloan 1996 accruals anomaly. Window: 1962-1991 | 1996 | JAE | - | ~10% ann. L/S (1962-1991); 4-6% OOS | |
| 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 | |
| Chan-Jegadeesh-Lakonishok 1996 JF -- Momentum and Earnings Surprise. Window: 1977-1993 (Chan-Jegadeesh-Lakonishok) | 1996 | Journal of Finance | - | ~4-8% annual in combined signal | |
| Womack 1996 JF -- Do Brokerage Analysts' Recommendations Have Investment Value? Window: 1989-1991 (Womack) | 1996 | Journal of Finance | - | - | |
| #36 buyback_drift — Ikenberry-Lakonishok-Vermaelen 1995 / Peyer-Vermaelen 2009. Window: 1980-1990 (Ikenberry-Lakonishok-Vermaelen) | 1995 | NBER | - | ~3-4% ann. abnormal return | |
| #87 buyback_blackout_reopen — buyback calendar boundaries; extends Ikenberry-Lakonishok-Vermaelen 1995. | 1995 | NBER | - | ILV 1995 finding: ~12.1% avg 4-year buy-and-hold abnormal return after open-market repurchase announcements (~45% for value firms). The ~50-150 bps annualized blackout-seasonal figure is an internal design estimate for this derived calendar effect, not a number from the paper. | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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% | |
| Conrad, J. S., Hameed, A., & Niden, C. (1994). Volume and Autocovariances in Short-Horizon Individual Security Returns. Journal of Finance; Campbell, J. Y., Grossman, S. J., & Wang, J. (1993). Trading Volume and Serial Correlation in Stock Returns. Quarterly Journal of Economics. | 1994 | Journal of Finance | - | - | |
| #2 Cross-sectional momentum — Jegadeesh-Titman 1993. Window: 1965-1989 (Jegadeesh-Titman) | 1993 | - | ~0.3 since 2010 | - | |
| #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 | |
| Hertzel, M., Smith, R. (1993). "Market Discounts and Shareholder Gains for Placing Equity Privately." Journal of Finance 48(2), 459-485. Wruck, K. (1989). "Equity Ownership Concentration and Firm Value." Journal of Financial Economics 23(1), 3-28. Window: T+1 to T+180d | 1993 | Journal of Finance | - | -4 to -9% over 6-12mo | |
| Jegadeesh, N. & Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48(1), 65-91. | 1993 | Journal of Finance | - | - | |
| 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 | |
| Lang-Stulz 1992 JFE intra-industry. Window: 1980s sample (Lang-Stulz) | 1992 | JFE | - | +0.5% to +1.5% CAR | |
| #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) | |
| #118 yield_curve_sector_rotation — Estrella-Hardouvelis 1991 JF / Estrella-Mishkin 1998. | 1991 | - | - | ~3-5% sector-rotation premium | |
| 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 | |
| Stickel 1991 JAR -- Common Stock Returns Surrounding Earnings Forecast Revisions. Window: 1981-1987 (Stickel) | 1991 | Journal of Accounting Research | - | - | |
| #18 Short-term reversal — sub-week mean reversion (Jegadeesh 1990). | 1990 | - | - | - | |
| McConnell, J. J., Servaes, H. (1990). "Additional Evidence on Equity Ownership and Corporate Value." Journal of Financial Economics 27(2), 595-612. Window: T+1 to T+90d | 1990 | Journal of Financial Economics | - | -3 to -5% over 30-90d | |
| Lehmann, B. N. (1990). "Fads, Martingales, and Market Efficiency." QJE 105(1), 1-28. Jegadeesh, N. (1990). "Evidence of Predictable Behavior of Security Returns." Journal of Finance. Window: T+1 to T+10d | 1990 | Quarterly Journal of Economics | - | 1-2% per event | |
| Lehmann, B. N. (1990). Fads, Martingales, and Market Efficiency. Quarterly Journal of Economics, 105(1), 1-28; Jegadeesh, N. (1990). Evidence of Predictable Behavior of Security Returns. Journal of Finance, 45(3), 881-898. | 1990 | Quarterly Journal of Economics | - | - | |
| #13 PEAD — Post-Earnings Announcement Drift (Bernard-Thomas 1989). Window: 1974-1986 (Bernard-Thomas) | 1989 | - | 4-5% in OOS | ~9% ann. top-decile SUE | |
| #85 pead_text_confirmation — PEAD (Bernard-Thomas 1989) × transcript FinBERT sentiment confirmation. | 1989 | JAR | - | ~50-100 bps incremental over vanilla PEAD | |
| #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 | |
| 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 | |
| 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 | |
| Fama, E. F., French, K. R. (1989). "Business Conditions and Expected Returns on Stocks and Bonds." Journal of Financial Economics 25(1), 23-49. Window: T+1 to T+63d | 1989 | Journal of Financial Economics | - | +/-3 to +/-5% over 63d | |
| Bernard-Thomas 1989 JAE / 1990 JFE -- Post-Earnings-Announcement Drift. Window: 1974-1986 (Bernard-Thomas) | 1989 | Journal of Accounting and Economics | - | ~2% per quarter (confirmed subsample) | |
| 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 | |
| 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 | |
| Bradley, M., Desai, A., Kim, E. H. (1988). "Synergistic Gains from Corporate Acquisitions and Their Division Between the Stockholders of Target and Acquiring Firms." Journal of Financial Economics 21(1), 3-40. Andrade, G., Mitchell, M., Stafford, E. (2001). "New Evidence and Perspectives on Mergers." Journal of Economic Perspectives 15(2), 103-120. Window: T+1 to T+90d | 1988 | Journal of Financial Economics | - | +3 to +6% over 30-90d | |
| 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% | |
| Jarrell-Peltzman 1985 JPE / Liu-Liu-Luo 2016 J. Marketing. Window: 1967-1981 (Jarrell-Peltzman), 2004-2014 (Liu-Liu-Luo) | 1985 | JPE | - | -4% CAR over 30d, severity-weighted | |
| Roll 1984 JF (implicit bid-ask spread estimator from negative autocovariance of price changes); traded effect: Amihud-Mendelson 1986 JFE illiquidity level premium. Window: 1961-1980 NYSE (Amihud-Mendelson 1986); Roll estimator 1984 | 1984 | JF | - | ~3-5% ann. illiquidity level premium (Amihud-Mendelson 1986) | |
| 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 | |
| #114 dividend_initiation_drift — Asquith-Mullins 1983 JF — first-time dividend initiations. | 1983 | - | - | ~2-3% over 3-12m | |
| #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. | |
| • TURN-OF-MONTH (Ariel 1987, Lakonishok-Smidt 1988): Window: 1994-2011 | 1973 | - | - | ~3-5% ann. pre-FOMC (Lucca-Moench 2015) | |
| #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 | |
| 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) | |
| Dealer gamma regime literature / Barbon-Buraschi | - | - | - | - | |
| Internal Alphactor methodology — constituent-derived ETF signal. | - | - | - | - |