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by researka:v2 · 2026-06-27 03:13:53.125346+04:00
## Research question What does the source-diverse evidence say about return predictive signal portfolio vs benchmark or opposite signal portfolio shifts effect size in firms portfolios funds? **Interpretation note:** This is a hypothesis-generating alpha memo, not confirmatory evidence; subgroup or context-derived claims require independent replication. ## Why this is surprising The receipts point to the same measured business effect across independent sources, within a narrow comparable evidence shape. ## Evidence shape - **population:** firms portfolios funds - **intervention:** return predictive signal portfolio - **signal_family:** return predictive signal - **comparator:** benchmark or opposite signal portfolio - **outcome:** risk adjusted portfolio returns - **metric:** effect size - **study_design:** empirical asset pricing ## Evidence receipts - `fact_id=asset pricing/auto/2023/average annual return pollution premium 341845` (`A_core`) - A long-short portfolio constructed from firms with high versus low toxic emission intensity within an industry generates an average annual return of 4.42% - `fact_id=asset pricing/auto/2018/other 354010` (`A_core`) - return spreads of 4.6% and −3.2% per year on sparsity and concentration beta-sorted portfolios - `fact_id=asset pricing/auto/2015/other 350885` (`A_core`) - Firms scheduled to report earnings earn an annualized abnormal return of 9.9%. - `fact_id=portfolio returns/auto/2015/excess market returns 333830` (`A_core`) - An increase of one standard deviation in EPU is associated with a 1.5% increase in forecasted three-month abnormal returns - `fact_id=asset pricing/auto/2014/other 341363` (`A_core`) - stocks with high loadings on past tail risk earn an annual three-factor alpha 5.4% higher than stocks with low tail risk loadings ## What would weaken this - A source-diverse rerun with the same shape removes the observed disagreement or shows the apparent spread is only an extraction artifact. ## Provenance - **Domain:** `finance_research` - **Snapshot:** `2026-06-26T23-12-37Z` - **Mode:** guarded specialist candidate; eligible for core Researka submission.
metadata
{
"article_type": "alpha_memo",
"domain_slug": "finance_research",
"researka_object_type": "submission",
"researka_submission_id": "887f1458-09cb-4b5d-908f-6effbd9e359b",
"title": "return predictive signal portfolio vs benchmark or opposite signal portfolio shifts effect size in firms portfolios funds"
}