Tag: historical-alpha
Concepts
- The 2005 Convertible Arb Unwind
- Cum-Ex and Dividend Withholding Tax Arbitrage
- The Weekend and Day-of-the-Week Effect
- Decimalisation and the Death of Spread Capture
- Early SPDR Creation-Unit Arbitrage
- ECN Fragmentation Arbitrage in the 1990s
- The ETF NAV Dislocations of August 2015
- The Ex-Dividend Day Price Drop and Tax Clienteles
- How Construction Choices Change a Factor
- Fair-Value Pricing and the End of Fund Timing
- The Floor Broker's Order Flow Edge
- Form 4 Filing Speed and Insider Signal Decay
- Fractional Pricing and the Teenie-Spread Era
- Sell in May and the Halloween Indicator
- Harvey, Liu and Zhu: The Multiple-Testing Hurdle
- Hou, Xue and Zhang's Anomaly Replication
- The January Effect and Its Disappearance
- Latency Edges, Era by Era
- McLean and Pontiff: Decay After Publication
- The Nasdaq Odd-Eighths Scandal
- News-Wire Lockups and Embargo Edges
- The Odd-Lot Sentiment Theory
- The On-the-Run/Off-the-Run Treasury Spread
- Open-Outcry Pit Scalping and the Local's Edge
- What Killed Post-Earnings-Announcement Drift
- Portfolio Insurance and the 1987 Crash
- Reg FD and the Decay of the Analyst Edge
- Reg SHO Threshold Lists and Fails-to-Deliver
- Risk-Arb Desks Before the Crowd Arrived
- The Royal Dutch/Shell Parity Mispricing
- Russell Reconstitution Front-Running
- The 2008 Short-Sale Ban and Its Dislocations
- The Disappearance of the Size Effect After 1981
- SOES Bandits and the 1990s Nasdaq Day-Trading Edge
- The S&P 500 Inclusion Effect and Its Decay
- The Specialist's Book: The NYSE Floor Edge
- Stale-Price Arbitrage in International Mutual Funds
- How Statistical Arbitrage Decayed, 1990s to Today
- Stock Index Arbitrage and 1980s Program Trading
- The Super Bowl Indicator as a Data-Mining Warning
- Tax-Loss Selling and the January Reversal
- The Tick Size Pilot of 2016-2018
- Trading Ahead of the Consolidated Tape
- The Turn-of-the-Month Effect
- The Turtle Traders and Early Trend Following
- The Value Line Timeliness Anomaly
- Year-End Window Dressing by Funds