Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
4,194 documents
This research review explains how earnings beta can measure a company’s exposure to systematic risk through the co-movement of its earnings with aggregate market earnings. It compares eleven earnings series built from realized or analyst-forecast earnings,…
The proposed Chinese-equity screen combines a daily price-range condition, at least two limit-up events over a recent 500-day window, and return on equity above 15% in each of the past five years. It frames the conditions as a blend of price behavior and…
This study organizes fifty Wind order-flow measures into eight groups, including inflows, outflows, net active buying, and large-order net flows. It assesses their stock-selection value with industry-neutral portfolio sorts, cross-sectional regressions, and…
This note describes a Chinese equity screen combining metaverse-sector membership, a positive institutional-flow measure, and a dividend payout ratio above 25% for 2019. It frames smaller companies as potential candidates, although the final screen does not…
This market-monitoring report reviews Chinese equities during the early 2020 pandemic shock. It combines trading activity, valuation, turnover, sentiment, sector relative performance, fund concentration, and style-factor signals. Its readings describe…
The document presents a stock screen combining three conditions: daily price amplitude above a threshold, an upward-spreading moving-average signal, and a nonempty field for the company’s outstanding convertible bond name. It describes the bond field as a…
This document outlines a stock screen that combines a positive MACD reading with a share price below 12 and return on equity above 15% in each of the past five years. The stated intent is to pair a technical indication of strength with a record of sustained…
This review describes a method for identifying crowded markets and distinguishing potential bubble build-up from unwinding. It measures sector or factor clustering from return covariances and principal components, then pairs that measure with relative…
This note describes a Chinese equity screen combining a daily high-low range of at least one unit, return on equity above 15% for five consecutive years, and a share price around 18.5 yuan. It suggests that the ROE condition is intended to favor companies…
This translated research review examines seven U.S. equity sentiment signals built from analyst revisions and surprises, short-selling data, news, options, consumer web content, corporate filings, and insider trades. It describes how the signals are…
This research review describes a link between employee movement and subsequent stock performance. It summarizes a study that estimates company hiring and departures from employee résumé histories, then tests whether net outflows predict returns. In event…
The proposed stock screen selects Chinese A-shares with turnover between 3% and 12%, excludes Beijing-listed shares, and requires appearance on the previous day’s exchange top-trading list. The document interprets top-list membership as a possible sign of…
This stock screen combines three filters: a 14-period RSI below 65, year-over-year net profit growth above 20% and no more than 100%, and turnover between 3% and 12%. The intended mix is a technical condition, a fundamental growth measure, and a…
This research summary describes a unified framework for explaining and testing generalized linear models in multi-factor stock selection. It compares how these models can combine factors into a composite signal, then evaluates the signal through grouped…
The study summary describes a dynamic contextual alpha model designed to address a weakness in conventional multi-factor scoring: applying the same factor evaluation across the entire market. It groups A-share stocks by characteristics such as size,…
The document presents a stock-selection screen combining three technical conditions: MACD above zero, the DEA line rising, and short-term moving averages expanding upward. Its example calculates MACD from exponential averages, computes five- and ten-period…
This research summary examines how to estimate factor premia for return prediction when market conditions change. It notes that a fixed estimation window creates a trade-off: a long window can lag shifts in the market, while a short one can be dominated by…
This example combines three cross-sectional stock measures into a composite score: market capitalization rank, turnover rank, and the rank of the latest close-to-prior-close ratio. It filters out risk-warning stocks, recently listed stocks, certain listing…
This weekly competition report profiles the ten highest-ranked ModelScore factors and tracks a CSI 1000 index-enhancement portfolio. It summarizes average style exposures from daily multivariate regressions and reports average within-industry Rank ICs, the…
The document asks how to define an earnings stability factor as the mean of four years of trailing-twelve-month gross profit divided by its standard deviation. It considers calculating this from daily financial-indicator data using a rolling window, and asks…
This document presents a Chinese equity screening method combining a large daily price range, consistently high return on equity over five years, and an upward 30-day moving-average condition. An expanded version adds positive MACD difference, a close above…
The document describes a Chinese equity screening idea that selects stocks associated with the metaverse theme, with positive recent returns and a specified turnover range. It explains these criteria as proxies for thematic exposure, recent performance, and…
This study examines whether differences in buy and sell limit order strength contain information about short-term price moves and longer-horizon stock returns in Chinese equities. Its Spread measure aggregates order book strength at each tick. Across…
This report describes a regularized fund-evaluation model used to rank Chinese equity funds and form fund-of-funds portfolios. It compares funds selected for overall ability, stock-selection ability, and market-timing ability, then reviews their holdings and…