Post Earnings Announcement Drift, A Price Signal ?

Julien Messias
julien.messias@uncia-am.com
March 4, 2015
www.uncia-am.com

Introduction Earnings releases :

why and how ?
PEAD, the genesis
- Literature review
Methodology
Philosophy
In Practice
Database
Results
Nasdaq Composite
Russell 2000
Nasdaq 100
Standard & Poor's
500
A predictability
tool ?
Nasdaq Composite
Russell
2000/Nasdaq
100/S&P 500
Conclusion
YTD Performances
Bibliography

Abstract

This paper investigates the robustness of post-earnings-announcement-drift

(PEAD) on a price signal perspective, unlike the traditional literature that
focuses on fundamental signal. The studied period is 2003-2015, for four main
US indices. The results suggest that some economic agents are too slow to
integrate the information, although they still have a major market impact.
We nd a strong empirical evidence of the preeminence of this bias for
Momentum stocks rather than blue-chips or non-Momentum small-caps.
Even by challenging the strategy, the conclusion remains strong with abnormal
returns linked to such market ineciency, with better returns for positive
signals than negative ones. We choose Nasdaq Composite as the backbone
of our development as it is the closest index to Uncia's eld of expertise. For
indices known as Momentum, we nd strong predictability of the systematic
net exposure, the latter being a consequence of the long and short positions
implied by the earnings signals.
: Momentum trading ; Earnings releases ;
Post-earnings-announcement drift ; Price signal ; Predictability
Keywords

Introduction Earnings releases :

why and how ?
PEAD, the genesis
- Literature review
Methodology
Philosophy
In Practice
Database
Results
Nasdaq Composite
Russell 2000
Nasdaq 100
Standard & Poor's
500
A predictability
tool ?
Nasdaq Composite
Russell
2000/Nasdaq
100/S&P 500
Conclusion
YTD Performances
Bibliography

Summary
Introduction - Earnings releases : why and how ?
PEAD, the genesis - Literature review
Methodology
Database
Results
A predictability tool ?
Conclusion
YTD Performances
Bibliography

Introduction Earnings releases :

why and how ?
PEAD, the genesis
- Literature review
Methodology
Philosophy
In Practice
Database
Results
Nasdaq Composite
Russell 2000
Nasdaq 100
Standard & Poor's
500
A predictability
tool ?
Nasdaq Composite
Russell
2000/Nasdaq
100/S&P 500
Conclusion
YTD Performances
Bibliography