* We screen for stocks to watch in remain and leave scenarios
* Remain scenario potential winners: financials dominate
* Leave scenario potential winners: defensives dominate
--> Winners in a ‘remain’ scenario (losers in a ‘leave’ scenario) (table 1)
To qualify for this screen, stocks must have passed the following parameters:
- outperformed in all three periods when the implied probability of a ‘remain’ vote has been rising
- underperformed in all three periods when the implied probability of a ‘remain’ vote has been falling
- The average relative move across all six periods must have been at least 2%
--> Winners in a ‘leave’ scenario (losers in a ‘remain scenario) (table 2)
To qualify for this screen, stocks must have passed the following parameters:
- underperformed in all three periods when the implied probability of a ‘remain’ vote has been rising
- outperformed in all three periods when the implied probability of a ‘remain’ vote has been falling
- The average relative move across all six periods must have been at least 2%