{"id":2061671,"date":"2017-03-08T08:35:41","date_gmt":"2017-03-08T03:05:41","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2061671"},"modified":"2017-03-08T08:35:41","modified_gmt":"2017-03-08T03:05:41","slug":"announcement-day-returns","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2017\/03\/08\/announcement-day-returns\/","title":{"rendered":"Quarterly Results Announcement Day Returns"},"content":{"rendered":"<p><a href=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/03\/results.boxplot.10.png\"><img loading=\"lazy\" decoding=\"async\" src=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/03\/results.boxplot.10.png\" alt=\"\" width=\"1200\" height=\"700\" class=\"alignnone size-full wp-image-2061681\" srcset=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/03\/results.boxplot.10.png 1200w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/03\/results.boxplot.10-300x175.png 300w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/03\/results.boxplot.10-768x448.png 768w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/03\/results.boxplot.10-1024x597.png 1024w, https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/03\/results.boxplot.10-500x292.png 500w\" sizes=\"auto, (max-width: 1200px) 100vw, 1200px\" \/><\/a><\/p>\n<h3>Key findings<\/h3>\n<ol>\n<li>On an aggregate, announcement day returns distribution not very different from other days&#8217;.<\/li>\n<li>Skews between negative and positive surprises are not constant.<\/li>\n<li>Mechanical overnight strangle selling strategy is not profitable.<\/li>\n<\/ol>\n<h3>Data<\/h3>\n<ol>\n<li>Ticker-wise data with closing prices (<a href=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/03\/results.7z\">zipped csv<\/a>.)<\/li>\n<li>Chart book (<a href=\"https:\/\/portalvhds29z8xdrqhczq.blob.core.windows.net\/wordpress\/2017\/03\/results.densityplot.pdf\">pdf<\/a>.)<\/li>\n<\/ol>\n","protected":false},"excerpt":{"rendered":"<p>Key findings On an aggregate, announcement day returns distribution not very different from other days&#8217;. Skews between negative and positive surprises are not constant. Mechanical overnight strangle selling strategy is not profitable. Data Ticker-wise data with closing prices (zipped csv.) Chart book (pdf.)<\/p>\n","protected":false},"author":2,"featured_media":2061731,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471,9],"tags":[2761],"class_list":["post-2061671","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","category-your-money","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2061671","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2061671"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2061671\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2061731"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2061671"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2061671"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2061671"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}