The Post Earnings Announcement Effect Drift (PEAD), is a well known market anomaly that has been documented in various studies of both US and international markets going as far back as 1968. PEAD is the tendency for a stock’s cumulative abnormal returns to drift after earnings announcements, sometimes for a few weeks, sometimes for several months. This phenomenon is more extreme in small caps.
Multiple academics have attempted to figure out why PEAD continues to reoccur. In Earnings Announcements […]