This report provides a 2023 mid-year update on the performance of the Leapday REACTION signals.

This report provides an update on the performance of the REACTION signals through the end of 2022.

This report aggregates REACTION signals for the most liquid 500 stocks to create an indictor that predicts downside moves in SPY.

This report aggregates REACTION signals to create an indictor that predicts downside moves in the overall stock market.

This report provides a 2022 mid-year update on the performance of the Leapday REACTION signals.

This report examines how REACTION signals can be used by fundamental investors to improve the timing of entering and exiting trades.

This report examines if the largest losing and winning trades for REACTION signals are due to accuracy of the signals or exogenous factors.

This report provides an update on the performance of the REACTION signals through the end of 2021.

This report compares REACTION performance to a PEAD strategy and studies how frequently REACTION trades with the direction of price momentum

This report uses REACTION signals to construct market-neutral portfolios that restrict trading to only the most liquid 500 and 1,000 stocks.

This report examines the impact on portfolio performance when allocating a larger proportion of a portfolio to less active stocks.

This report applies a market direction filter from past research to a market-neutral portfolio using all 3 entry points of REACTION signals

This report provides a 2021 mid-year update on the performance of the Leapday REACTION signals.

In this report we build a market-neutral portfolio using REACTION signals generated before the open on the day after the event day.

In this report we build a market-neutral portfolio using REACTION signals which are generated 60 minutes after the open on the event day.

In this report we build a market-neutral portfolio using REACTION signals which are generated just before the close on the event day.

We investigate whether moves in SPY prior to a REACTION signal provide meaningful information in deciding whether to enter or avoid a trade.

In this report we aggregate REACTION signals on busy earnings days to create a short market direction signal that is used as an overlay.

In this report we investigate whether aggregating Leapday’s REACTION signals on busy earnings days can be used to predict market direction.

We continue our investigation of investor attention around earnings events. We find that jumps on event days are more than double the ...