Using Internet Search Data to Predict Aggregate Retail Sales and Enhance Firm-Level Revenue Expectations
Event-driven strategies in equities, studied by Lind and Ramesh in 2023. The abstract mentions alpha, an out-of-sample test and transaction costs but not a benchmark, multiple testing or the size of the universe.
“An implementable trading strategy generates abnormal returns of roughly 2% to 3% from the fiscal quarter end through the earnings announcement, well above transaction costs.”
AssetEquitiessingle stocks
StrategyEvent-driven strategiesmacro signals
GeographyUS
ClaimAlpha
Also stated: Fundamentals, Macro, out-of-sample test, costs
Missing from abstract: benchmark, multiple testing, universe
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The paper's neighbourhoodEvent-driven strategies by year
FamilyEvent-driven strategies52Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 950
AssetEquities40
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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