14 lines
1 KiB
Text
14 lines
1 KiB
Text
Perform a "Post-Earnings Announcement Drift (PEAD) Strategy Feasibility Study."
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Research period: 2023-01-01 to 2025-12-31.
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Sample: Select at least 30 US large/mid-cap stocks (provide selection criteria).
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Requirements:
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1. Define an executable PEAD signal (e.g., post-earnings 1-3 day information, earnings surprise proxy, or post-announcement momentum proxy) and explain its limitations.
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2. Group the sample (high signal / low signal) and analyze performance differences at 1-month and 3-month horizons.
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3. Add basic risk controls (position limits, stop-loss, sector exposure limits) and evaluate whether the strategy warrants a small-scale pilot in 2026.
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4. Generate an Excel file (.xlsx) with sheets: `universe`, `signal_definition`, `group_performance`, `risk_controls`, `pilot_plan_2026`.
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5. Generate `pead_study.md` (covering methodology, results, sources of bias, and implementation recommendations).
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6. Generate `sources.md`.
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Execution requirements: Must provide "failure scenarios" and objective conditions for "stopping the pilot."
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