{"paper":{"title":"The Bounce Has No Direction: Sign, Magnitude, and the Microstructure of Equity Return Predictability","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.TR","authors_text":"Victoria Portnaya","submitted_at":"2026-06-28T20:22:00Z","abstract_excerpt":"SPY's lag-1 return autocorrelation ($\\hat\\rho(1)=-0.081$, $z=-7.4$) is among the most significant regularities in empirical equity finance, yet the standard variance-ratio (VR) test cannot determine whether it reflects directional reversal or magnitude shrinkage - phenomena with entirely different trading implications. We develop the Fourier-Residue Identity (FRI), which decomposes return autocorrelation into a sign ($k=2$) and a magnitude ($k=4$) channel, each independently testable and neither redundant. Applied to six US instruments over 1993--2026 and a 21-instrument cross-asset panel, the"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2606.29591","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2606.29591/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}