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T3 · Timing

Cadence and event proximity

Do trades arrive in routine rebalancing batches, or sporadically just before company news?

What would look suspicious

Opportunistic trades carry information and routine trades do not.

Statistic

Batch share, index of dispersion, routine share, proximity share to firm events

Wˉ=1N∑i1{∃e∈Ej(i):0<e−ti≤w}\bar W=\frac1N\sum_i\mathbf 1\{\exists e\in\mathcal E_{j(i)}:0<e-t_i\le w\}

Inference

Chi-square dispersion test; circular-shift permutation of trade dates against event dates

Decision rule

Fits if the proximity share is above the 95th percentile of its permutation null after adjustment and the excess sits in non-routine trades. Does not fit if proximity is within its null range and most trading days are batches. Otherwise open question.

Inputs

tradesfirm events from daily returns

Limitations

Firm events are proxied by large abnormal moves when an earnings calendar is not available.

Full derivation and algorithm: technical methodology (PDF), section T3.

Results across members

Fits patternOpen questionDoes not fitNot assessedScreening signal

0 fits · 19 open question · 124 do not fit · 103 not assessed. 19 open questions are screening signals (unadjusted p below 0.05).

Distribution of member estimates (143 members)
0.0%100.0%

Highest estimates

0Estimate
Patty Murray100.0%
Pete Ricketts100.0%
Adam Smith100.0%
Bryan Steil100.0%
Matt Van Epps100.0%
Jefferson Shreve90.0%
Dan Newhouse84.6%
Val T. Hoyle81.5%
Lizzie Fletcher75.0%
Richard McCormick75.0%
Bruce Westerman75.0%
John R. Curtis68.8%

Members flagged by this test

MemberReadingEstimateHolm pSummary
Dan Crenshaw
Rep. · R-TX-2
Screening signal22.7%0.01623% of trading days were batches of three or more companies; 12% of trades look routine; 35.0% of trades came within five trading days before a large company-specific move (chance alone: 5.2%).
Josh Gottheimer
Rep. · D-NJ-5
Screening signal36.3%0.03236% of trading days were batches of three or more companies; 12% of trades look routine; 8.3% of trades came within five trading days before a large company-specific move (chance alone: 5.7%).
Bill Cassidy
Sen. · R-LA
Screening signal45.2%0.05445% of trading days were batches of three or more companies; 11% of trades look routine; 21.2% of trades came within five trading days before a large company-specific move (chance alone: 7.3%).
Peter Welch
Sen. · D-VT
Screening signal2.3%0.0962% of trading days were batches of three or more companies; 0% of trades look routine; 10.8% of trades came within five trading days before a large company-specific move (chance alone: 3.7%).
Virginia Foxx
Rep. · R-NC-5
Screening signal10.5%0.11211% of trading days were batches of three or more companies; 11% of trades look routine; 6.6% of trades came within five trading days before a large company-specific move (chance alone: 3.6%).
Greg Landsman
Rep. · D-OH-1
Screening signal26.5%0.12627% of trading days were batches of three or more companies; 2% of trades look routine; 16.3% of trades came within five trading days before a large company-specific move (chance alone: 7.7%).
Jim Banks
Sen. · R-IN
Screening signal5.1%0.1325% of trading days were batches of three or more companies; 4% of trades look routine; 16.2% of trades came within five trading days before a large company-specific move (chance alone: 4.6%).
Thomas H. Kean, Jr.
Rep. · R-NJ-7
Screening signal12.8%0.14413% of trading days were batches of three or more companies; 10% of trades look routine; 12.0% of trades came within five trading days before a large company-specific move (chance alone: 6.6%).
Brian Babin
Rep. · R-TX-36
Screening signal12.5%0.16012% of trading days were batches of three or more companies; 0% of trades look routine; 15.8% of trades came within five trading days before a large company-specific move (chance alone: 3.1%).
Gilbert Ray Cisneros, Jr.
Rep. · D-CA-31
Screening signal51.1%0.16251% of trading days were batches of three or more companies; 3% of trades look routine; 10.1% of trades came within five trading days before a large company-specific move (chance alone: 5.3%).
Michael K. Simpson
Rep. · R-ID-2
Screening signal17.7%0.16818% of trading days were batches of three or more companies; 18% of trades look routine; 9.6% of trades came within five trading days before a large company-specific move (chance alone: 3.2%).
Dwight Evans
Rep. · D-PA-3
Screening signal56.8%0.18257% of trading days were batches of three or more companies; 0% of trades look routine; 13.1% of trades came within five trading days before a large company-specific move (chance alone: 5.9%).
Robert C. "Bobby" Scott
Rep. · D-VA-3
Screening signal42.9%0.21043% of trading days were batches of three or more companies; 0% of trades look routine; 21.7% of trades came within five trading days before a large company-specific move (chance alone: 5.1%).
Zoe Lofgren
Rep. · D-CA-18
Screening signal36.4%0.21636% of trading days were batches of three or more companies; 15% of trades look routine; 17.4% of trades came within five trading days before a large company-specific move (chance alone: 6.3%).
Julie Johnson
Rep. · D-TX-32
Screening signal41.9%0.23842% of trading days were batches of three or more companies; 25% of trades look routine; 13.2% of trades came within five trading days before a large company-specific move (chance alone: 8.0%).
Daniel Meuser
Rep. · R-PA-9
Screening signal29.2%0.25229% of trading days were batches of three or more companies; 6% of trades look routine; 21.8% of trades came within five trading days before a large company-specific move (chance alone: 6.7%).
Steve Cohen
Rep. · D-TN-9
Screening signal33.3%0.28833% of trading days were batches of three or more companies; 6% of trades look routine; 11.1% of trades came within five trading days before a large company-specific move (chance alone: 4.8%).
Jonathan L. Jackson
Rep. · D-IL-1
Screening signal13.9%0.32414% of trading days were batches of three or more companies; 8% of trades look routine; 10.2% of trades came within five trading days before a large company-specific move (chance alone: 6.8%).
Michael T. McCaul
Rep. · R-TX-10
Screening signal35.1%0.43235% of trading days were batches of three or more companies; 14% of trades look routine; 4.9% of trades came within five trading days before a large company-specific move (chance alone: 3.6%).