Tools

Keyword price-impact finder

How do stocks trade after a headline says “offering”, “FDA approval” or “buyback”? Enter a keyword to measure the next-close move after every single-ticker headline containing it over the last 12 months, with volatility, hit rate and how often it shows up.

Methodology

• Headlines: every press release, analyst rating and news item tagged to exactly one listed company on the Quantisnow wire in the last 12 months. SEC filing notices and multi-company items are left out.
• Matching: the keyword must appear in the headline as a phrase, case-insensitive, starting at a word boundary. Words under three letters and very common words (the, of, for) only count inside a longer phrase.
• Move: the closing price of the first regular session that closed after the headline hit the wire, against the prior session's close. A pre-market headline is measured on that day, one after 4pm ET on the next session. The 5-session move uses the close four sessions later against the same base.
• Prices: daily split-adjusted consolidated (SIP) bars. Moves beyond +/-300% are dropped as bad prints. Dividends are not included. A move reflects everything that happened that session, not just the headline.
• Several matching headlines on the same stock before the same close (a proposed offering and its pricing, say) count as one stock-session in the move statistics. Frequency counts every headline, over the days the dataset covers.