GME forward 5-day returns after top-decile news-volume sessions vs baseline (last ~3 years)
Do GME’s days that dominate the headlines mark local tops, or just noisy peaks of attention? We scanned roughly 36 months of intraday data (752 trading sessions), aggregated calendar-day article counts, and flagged the top-decile news days (threshold 3 articles/day — eight event sessions). The question tests whether those attention spikes produce weaker five‑day follow-through than the unconditional baseline.
The headline result is a suggestive lean, not a confirmation: event sessions averaged a −3.1602% five‑day return versus a +0.7709% baseline (about a −3.93 percentage‑point gap; event median −1.6408% vs baseline −0.61%), but the sample is tiny and the Welch t = −1.33 (two‑sided p = 0.2225). Read the full analysis below for the charts, distributional detail, and robustness checks.
For GME over the past ~3 years, do the sessions it dominates the news cycle — top-decile by daily article count — actually mark local tops, with forward 5-day returns coming in below the everyday baseline as the attention crescendo fades? Thesis: peak news-volume days are a contrarian tell in this attention-driven meme name, so forward 5-day returns after article-count spikes lag baseline rather than extend the move.
How this was measured
Resampled minute bars to daily closes over the trailing ~36 months and computed forward 5-trading-day returns as close[t+5]/close[t] − 1 for sessions with a valid t+5 close. Aggregated GME_news headlines by calendar day to form a daily article count aligned to trading sessions. Defined 'dominant news-cycle' sessions as the top decile of article counts among days with ≥1 article. Compared the forward 5-day return distribution for those top-decile sessions against the unconditional baseline of all sessions with valid 5-day forwards using Welch's two-sample t-test (unequal variances).
The key numbers
Reading the numbers
On the eight top‑decile days the mean 5‑day forward return was -0.0316 (−3.16%) versus +0.0077086 (+0.77%) for the 747 baseline sessions — an edge of −0.039311; two‑sided p=0.2225, so the gap isn't statistically clear.
The charts
This histogram plots the eight individual 5‑day returns after top‑decile news days: they range from -0.1934 up to 0.0469 with a mean of -0.0316. Notice the concentration on the negative side and the large negative tail (down to -19.34%) — half the events were positive (event fraction positive 0.5) but the average is pulled negative. That pattern is consistent with the idea that some big attention spikes precede short five‑day pullbacks, though it’s based on only eight observations.
The two bars make the gap obvious: top‑decile sessions average -0.0316 over five days while the baseline is +0.0077086, a difference of -0.039311. Look at the sign flip — the top‑decile bar is below zero while the baseline is slightly positive — which is the core of the contrarian thesis in magnitude. Statistically the Welch t is -1.329 with a two‑sided p=0.2225, so the magnitude exists but isn’t a statistically clear result.
This time series shows article counts across 752 sessions with a flat top‑decile threshold at 3.0 articles. The typical day sits near zero (mean articles 0.0824) while counts spike up to a max of 5.0, so sessions above 3.0 are rare and visually obvious. For the question at hand that rarity matters: the alleged contrarian signal lives in a few sharp spikes (N=8), not in a steady stream of elevated coverage.
Top-decile news-volume sessions (sample, sorted by articles)
| date | articles | fwd_5d_return |
|---|---|---|
| 2025-06-11 | 5 | -0.0773 |
| 2025-03-26 | 3 | -0.1934 |
| 2025-05-28 | 3 | -0.0527 |
| 2025-10-16 | 3 | 0.0248 |
| 2025-12-09 | 3 | 0.0199 |
| 2025-12-10 | 3 | 0.0422 |
| 2025-12-17 | 3 | -0.0631 |
| 2026-01-21 | 3 | 0.0469 |
The takeaway
Short answer: no clear, reliable contrarian signal — top-decile news days show worse five-day follow-through on average, but the evidence is weak. Over the 3-year window the eight top-decile sessions averaged a -3.16% five-day return versus a +0.77% baseline (a -3.93 percentage-point gap); medians were -1.64% for events and -0.61% for the baseline, and half the event days were positive. Statistically this is a suggestive lean, not a confirmation: Welch t = -1.33 with a two-sided p = 0.2225 (about a 22% chance the gap is just noise). Practical takeaway: peaks in article volume tended to be followed by weaker short-term returns in this sample, but the effect rests on only eight cases and is sensitive to threshold, overlap, and timing — don't treat top-decile article spikes as a dependable contrarian trigger without more testing.
The fine print
- Just 8 event days — sample too thin to be definitive.
- Two-sided p = 0.2225 → roughly a 22% chance the observed gap is noise, so this is a suggestive lean, not proof.
- Forward-5d windows can overlap when events cluster, inflating effective degrees of freedom.
- Top-decile cutoff and calendar-day aggregation of headlines can change which sessions count; results are sensitive to those choices.