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larger earnings surprises associated with higher returns

Surprisingly I find myself working on my PEAD research more during finals week… Below is the component residual plot for the current model: stock's return in the next 30 days ~ last 30 days price change + last 30 days historical volatility + earnings surprise > There’s an apparent association b/w larger earnings surprises and higher returns. Looks like ...
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400 lines of code and 1.6 million data points later

And the data is finally in “response variable, explanatory variable 1, explanatory variable 2,… explanatory variable n” format. My code (Java) is very unreadable, but it gets the job done. There were only about 18000 earnings surprise data points. But my other explanatory variables right now, momentum and volatility, require historical price data and so I had to process ...
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starting on PEAD (post earnings announcement drift) analysis

I decided to start on my PEAD project, which is to semi-replicate the analysis in the research paper “The Extreme Future Stock Returns Following I/B/E/S Earnings Surprises”. One of the things the researchers do in that paper is construct a multiple regression of 1 year, 2 year, and 3 year returns on earnings surprise %, beta, market cap, momentum, accruals, ...
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performance of the ETFRot strategy

ETFRot is an ETF rotation strategy that I’ve been working on for a while now (almost a year). Essentially it uses a couple of momentum and volatility indicators to rank ETFs in a basket spanning across asset classes, and then trades the top ranked ETF. When the top ranked ETF changes, it “rotates” into the the new one. Simple logic, ...
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TSLA, Covestor, and potential new project

I saw yet another article on Tesla Motors’ (TSLA) expansion. This time it was about Panasonic’s $30 million investment in Tesla. A few months ago Toyota invested $50 million; last month they inked a partnership with Tesla to use their all-electric powertrains in the new EV RAV4. Daimler has also invested heavily in Tesla’s technology.  Right now, Tesla is burning money ...
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