Research
Whitepapers built on the Quantisnow news archive. Each one states its method and its limits and comes with data you can check. They have not been peer reviewed.
Whitepapers
After the Headline: News, Bursts and Momentum in US Stocks
We study 144,659 single-company news items and 1.2 million stock-sessions in US equities from October 2025 to November 2026. News days are about a tenth of stock-days and carry about a quarter of idiosyncratic variance, and more than two in five large moves have no item in a broad feed. Direction and size separate: most headline types average close to zero, while their absolute moves are large. Against same-day controls matched on liquidity and volatility, large moves in the most liquid third of stocks show no reliable drift or reversal over 20 sessions. Negative returns after large moves concentrate in the least liquid third, where trading costs and short-sale limits are likely to bind. Large opening gaps up tend to fade by the close, except in the most liquid names. Open-market insider purchases are followed by higher returns over 20 sessions, though so are sales under trading plans, which warns against a simple reading. The sample covers one year and one market regime, and several classic results do not replicate in it.
Read online | PDF | Data and code
More data
Monthly statistics on insider buying, analyst actions, filings and short volume are on the market data pages.