After a large one-day move, do rises and falls differ in returns against quiet peers?
Study 34 · Inconclusive · recorded 2 October 2026 · answer: Not at the size tested · full paper with figures
Correction, 2 October 2026. The text of this record was rewritten to the project's editorial standard, from the study's plan, result and records rather than its earlier wording. What the study found is unchanged.
The question
An earlier study found that such shares slipped by about half a percentage point over five sessions, after rises and falls alike. We compare each flagged share with unflagged shares of the same volatility on the same day, to tell an effect of the move from an effect of volatility, and ask whether rises and falls differ.
Rules fixed before the result
Before any result was computed, we fixed the comparison group, the five-session window, the size that would count as meaningful and our expected answer.
Data and method
The market-wide rule flags a share whose move beyond what the market implied was among the day's largest; we kept those not also flagged by their own-history rule. Quiet peers were unflagged shares of the same day and tenth by volatility, moving under 2% beyond the market. Flagged shares' returns beyond the market over the next five sessions, less their peers' average, gave a gap common to rises and falls and a difference between them.
What it changes
Nothing changes, as fixed in advance for an inconclusive result; the undecided gap common to rises and falls is recorded as a limitation, not as a pattern to act on.
What remains uncertain
One sample of past data was used, peers were matched on volatility alone, and the lag grew over twenty sessions, which was reported but decides nothing.
How it was made
Run took 28 minutes; independent code review: approve; the recorded calculation reruns to the same result.
Exploratory work on development data; not a performance claim.