event-study
We analyzed 157,269 earnings events from 2000-2025 on NYSE/NASDAQ/AMEX with next-day close entry. Beats drift -0.32% vs SPY at T+63. Misses decline -0.91%. Q5-Q1 spread: +1.34pp. The announcement-day reaction is the bulk of PEAD. Post-entry, the US signal is a miss-avoidance tool.
event-study
NSE stocks drift +2.93% vs the Sensex after positive earnings surprises over 63 trading days (next-day close entry). Q5-Q1 spread: +4.28pp. In a world where US beats show no post-entry drift, India's signal is the strongest globally.
event-study
With MOC entry and the Nikkei as benchmark, Japan's beat drift vanishes (-0.30%, t=-2.16). Misses still decline -0.83% (t=-5.21). Q5-Q1: +1.07pp. The relative signal survives, but the tradeable edge is miss-avoidance.
event-study
18,363 earnings events on TSX+TSXV (2000-2025). Beats drift +1.28% vs TSX Composite at T+63 (t=+8.17). Misses drift -0.08% (t=-0.45, not significant). Q5-Q1 spread: +2.06pp. Next-day close entry.
event-study
PEAD event study on 14 exchanges with MOC entry and local benchmarks. Q5-Q1 positive on 13 of 14. Taiwan leads at +4.55pp, India at +4.28pp. US beats don't drift post-entry (-0.32%). Asia-Pacific markets show real drift. Major developed markets don't.
event-study
We measured every S&P 500 addition and removal from 2000-2025. Additions underperform SPY by -0.82% in the first week. Removals average +4.01% but the median is +0.56%. Here's what the gap means.
event-study
Stocks removed from the NASDAQ-100 average +4.90% vs QQQ in the 21 days after removal (t=3.11, median +2.61%). 25 years of data, 163 removal events. Here's the methodology and the screen.
value investing
We ran the same P/B screen across 17 stock exchanges and 25 years of data. Four beat SPY. Thirteen didn't. But with local benchmarks, 12 of 17 beat their own market. Here's where the value premium survived and where it didn't.
backtests
Out of 22 exchanges, Sweden's Stockholm Stock Exchange produced the best developed-market result: 10.36% CAGR, +7.18% above the OMX Stockholm 30 annually, Sharpe 0.414. Here's why the signal works here.
backtests
We ran the same Net Debt/EBITDA screen across 22 global exchanges over 25 years. With local benchmarks, 13 of 22 beat their home index. India: +6.50% vs Sensex. The exchange matters more than the signal.
backtests
We tested Net Debt/EBITDA below 2x on 22,000+ US stocks over 25 years. Result: 5.13% CAGR vs 8.02% for SPY, -2.89% excess per year. The honest version of a popular strategy.
backtests
The same signal that underperforms on the full US market produced 17.62% CAGR on Indian stocks (NSE) over 25 years, +6.50% above the Sensex annually. Here's what the data shows and why.