| September 05, 2013
In this study we attempt to enhance strategies designed to exploit the short-term reversal anomaly with two news-based indicators - company event volume and sentiment.
Here is a summary of our findings about
short term stock reversal strategies
This study examines all S&P 500 constituents using a 1-week investment horizon.
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We consider incorporating sentiment signals from news, earnings call transcripts, and insider transactions to
boost the risk-adjusted returns, and revive factor performance.
We find stronger, more predictable market reactions when the words of company executives agree with their actions.
We have gathered 12 insights from 2021 research that can be leveraged in 2022.