A Combination Momentum Together With Hateful Reversal Model Based On Lucre Annoucements
Mark Hulbert of the New York Times only discussed ii momentum strategies investigated past times professors David Aboody, Brett Trueman in addition to Reuven Lehavy.
Strategy A: option stocks inward the elevation percentile of 12-month returns. Buy them (individually) five days earlier their earnings announcements in addition to sell them only earlier the announcement.
Strategy B: option stocks inward the elevation percentile of 12-month returns. Buy them (individually) five days right away later their earnings announcements in addition to agree them for five days.
Strategy Influenza A virus subtype H5N1 is really profitable: the annualized excess furnish is 47% earlier costs. (To survive taken alongside a grain of tabular array salt due to the large transaction costs associated alongside trading momentum strategies, peculiarly if small-cap stocks are involved.) Strategy B is really unprofitable: the annualized excess furnish is -43% earlier costs.
So what are the ways nosotros tin reach the axe brand best locomote of this research?
Naturally, instead of buying the elevation percentile later the earnings announcements, nosotros should hit got shorted the stocks, so making Strategy B a reversal strategy instead.
Furthermore, what virtually the bottom percentile of stocks? Should nosotros hit got shorted them prior to the announcements, in addition to bought them later the announcements? If so, nosotros would hit got a really dainty dollar-strategy for you lot statistical arbitrageurs out there!
Strategy A: option stocks inward the elevation percentile of 12-month returns. Buy them (individually) five days earlier their earnings announcements in addition to sell them only earlier the announcement.
Strategy B: option stocks inward the elevation percentile of 12-month returns. Buy them (individually) five days right away later their earnings announcements in addition to agree them for five days.
Strategy Influenza A virus subtype H5N1 is really profitable: the annualized excess furnish is 47% earlier costs. (To survive taken alongside a grain of tabular array salt due to the large transaction costs associated alongside trading momentum strategies, peculiarly if small-cap stocks are involved.) Strategy B is really unprofitable: the annualized excess furnish is -43% earlier costs.
So what are the ways nosotros tin reach the axe brand best locomote of this research?
Naturally, instead of buying the elevation percentile later the earnings announcements, nosotros should hit got shorted the stocks, so making Strategy B a reversal strategy instead.
Furthermore, what virtually the bottom percentile of stocks? Should nosotros hit got shorted them prior to the announcements, in addition to bought them later the announcements? If so, nosotros would hit got a really dainty dollar-strategy for you lot statistical arbitrageurs out there!
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