2026-09-18T22:55:18Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/1050782022-01-13T07:54:52Zcom_1721.1_7582com_1721.1_7581col_1721.1_131023
John E. Core.
Guest, Nicholas M
Sloan School of Management.
Sloan School of Management
2016-10-25T19:52:51Z
2016-10-25T19:52:51Z
2016
2016
http://hdl.handle.net/1721.1/105078
960722729
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2016.
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 44-47).
This study uses short interest data to show that quantitative equity investors devote more capital to firm-specific arbitrage strategies in stocks with more opaque earnings. There are also higher strategy returns in stocks with opaque earnings. Together, these results suggest that quantitative investors exploit their sophistication by trading when the firm's earnings make it more costly for other market participants to understand the future implications of a signal. The result is stronger for fundamental-based strategies such as post-earnings-announcement drift than for market-based strategies such as return momentum, suggesting that arbitrageurs shift capital from market strategies to fundamental strategies when earnings are opaque. Overall, the paper highlights the role of sophisticated quantitative investors in impounding signals that are difficult to understand into prices and suggests that the opacity of a firm's fundamentals is a key determinant of sophisticated investors' trading strategies.
by Nicholas M. Guest.
S.M. in Management Research
47 pages
eng
Massachusetts Institute of Technology
M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.
http://dspace.mit.edu/handle/1721.1/7582
Sloan School of Management.
Shorting opaque signals
Thesis
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