Wall Street Horizon Blog

More Proof that You Can Make Money Trading on Earnings Date Revisions from Wall Street Horizon

Posted by Eric Soderberg on Nov 16, 2015 5:08:25 PM

Over the last couple of years, we’ve seen many independent academic studies including one by Eric So, MIT and another by Joshua Livnat, NYU Stern and Li Zhang, Rutgers, that have concluded that alpha can be generated by trading on earnings date revision data from Wall Street Horizon.

We now have yet another piece of research, this time published by Deltix, a provider of software and services for quantitative research and algorithmic trading, that comes to the same conclusion.

For more information on this latest research, follow any of the links below. If you want to see what 50,000 earnings date changes per year look like, you'll have to give us a call because no one else will have it!

Here is the P&L Curve for the Unhedged Version of the Strategy

Press release

Summary of the research methodology and results

Download copy of the research