momentum - Trading Studio (Page 2)

earnings surprise

Earnings Surprise Drift in India: The Strongest PEAD in Our Global Study

India's PEAD is the strongest in our global study. Positive earnings surprises produce +3.77% CAR at T+63 vs Sensex. Q5 biggest beats reach +5.39%. The Q5-Q1 spread of +6.89% is the largest of any exchange we tested.

earnings surprise

Earnings Surprise Drift in Japan: 17,000 Events, Miss-Heavy PEAD

Japan PEAD is miss-heavy vs Nikkei 225. Biggest misses produce -2.84% CAR at T+63 (t=-11.3). Biggest beats produce +2.09% (t=8.3). Q5-Q1 spread: +4.93%.

earnings surprise

Earnings Surprise Drift in Taiwan: Big Misses, Big Drift

Taiwan's Q5-Q1 earnings drift spread is +5.47% at T+63, second globally. The story is driven by the miss side: worst misses produce -3.71% CAR at T+63.

earnings surprise

Earnings Surprise Drift in Thailand: Both Sides Signal, Miss Side Dominates

Thailand PEAD works on both sides vs the local SET Index. Q5 beats: +2.49% CAR at T+63 (t=+5.1). Q1 misses: -1.78% (t=-3.8). Q5-Q1 spread: +4.28%. Thailand ranks 6th globally.

earnings surprise

Earnings Surprise Drift in the UK: Both Sides Active, Miss Side Leads

UK earnings beats produce +1.13% CAR at T+63 vs FTSE 100. Q5 biggest beats reach +1.83%. Misses produce -1.01%. The Q5-Q1 spread (+3.19%) has contributions from both sides.

earnings surprise

Earnings Surprise Drift on US Stocks: 170,000 Events, 26 Years

We ran an event study on 170,000 US earnings announcements from 2000 to 2025. The drift is real, but asymmetric: misses cause 8x more drift than beats.

52-Week High Proximity excess return by exchange vs local benchmarks 2000-2025. Thailand and India lead at +7.6% and +7.3%. 14 of 18 markets show positive alpha.

momentum

52-Week High Proximity: One Signal, 18 Markets, Very Different Outcomes

We ran the 52-week high proximity screen across 18 exchanges. India returned 26.73% annually. The UK returned 2.93%. The divide tracks almost exactly with retail vs institutional market structure. Anchoring is a retail bias, and it shows in the numbers.

Growth of $1 invested in the 52-week high proximity strategy on Indian stocks vs S&P 500 from 2000 to 2025. India strategy grew to $444.67, S&P 500 to $7.30.

momentum

NSE 52-Week High Proximity: 18.4% CAGR, +7.3% vs Sensex Over 25 Years

We tested the 52-week high proximity strategy on NSE stocks from 2000 to 2025 with next-day execution. 18.40% CAGR vs 11.12% Sensex, +7.28% excess return. ₹1 grew to ₹77.42 vs ₹15.11 for Sensex. The anchoring effect persists in India's retail-dominated market.

Growth of ¥1 invested in the 52-week high proximity strategy on Japanese stocks vs Nikkei 225 from 2000 to 2025. Japan strategy grew to ¥7.59, Nikkei 225 to ¥3.40.

momentum

Japan's 52-Week High Proximity: Steady Alpha in a Flat Market

We tested the 52-week high proximity strategy on Japanese stocks (JPX) from 2000 to 2025. 8.19% CAGR, +4.79% vs Nikkei 225, 42.0% down capture. In a market that went sideways for a decade, the signal found the winners and avoided the worst drawdowns.

Growth of ₩1 invested in the 52-week high proximity strategy on Korean stocks vs KOSPI from 2000 to 2025. Korea strategy grew to ₩13.11, KOSPI to ₩4.81.

momentum

KOSPI's 52-Week High Screen: 11.4% CAGR, 39% Down Capture

We tested the 52-week high proximity strategy on Korean stocks (KSC) from 2000 to 2025. 10.51% CAGR, +5.70% vs KOSPI, 40.0% down capture. 2024 returned +23.7% when KOSPI fell 10.2%.

Growth of ฿1 invested in the 52-week high proximity strategy on Thai stocks vs SET Index from 2000 to 2025. Thailand strategy grew to ฿15.82, SET Index to ฿3.76.

momentum

Thailand's 52-Week High Proximity: Anchoring Works in Emerging Markets Too

We tested the 52-week high proximity strategy on Thai stocks (SET) from 2000 to 2025. 11.32% CAGR, +7.56% vs SET Index, 44.4% down capture. In 2022, the strategy returned +9.6% while the SET rose just 0.5%.