Research on trading mechanics, information flows, liquidity, and implementation frictions.
Curated by Signal & Evidence. Read our research approach for how we distinguish author findings from house tests.
A paper estimates a ninefold median capacity increase from slower rebalancing among factors with positive initial capacity. The signals stay the same; the trading rule changes. These are historical model estimates.
Study: The Capacity of Equity Anomalies
We reproduced Bruce Knuteson's "Strikingly Suspicious Overnight and Intraday Returns" from the same public data, then split it by era. The overnight return is still there.
Study: Strikingly Suspicious Overnight and Intraday Returns
Brogaard, Han and Kim's reversal appears in our high-VIX, two-hour rebuild. Sampled entry quotes imply a spread hurdle more than three times the gross edge under full spread crossing.
Study: Intraday Residual Reversal in the U.S. Stock Market
Our six-market house test found a profitable slow rule and an unprofitable fast one. Execution and data limits still matter.
Study: Is Trend Still Your Friend?: A Microstructural Account of the Demise of Short-Term Trend-Following
A study of earnings surprises asks whether company news crowds out the market news arriving alongside it.
Study: Firm–specific information processing and the delayed discovery of macroeconomic news: evidence from earnings announcement returns
A connected-market model follows rebalancing pressure beyond the fund’s own underlying asset.
Study: The Loop-Gain Matrix: Coupled Rebalancing Feedback and the Blind Spots of Scalar Stability Monitoring
A Norwegian register study looks beyond the most visible executives. Which part of its information can an outside investor actually observe?
Study: Flying Below the Radar: Insider Trading by Executives Below the Top
The paper reports a sharp contrast in loser-stock returns inside and outside a six-day window. What survives a portfolio test?
Study: The Intramonth Momentum Cycle
