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This paper moves beyond aggregate measures of retail intensity to explore investment horizon as a distinguishing feature of earnings-related return patterns. Using self-reported holding periods from StockTwits (2010-2021), we observe that separating retail activity into "long-horizon" and "short-horizon" cohorts reveals divergent price anomalies. Long-horizon composition is associated with underreaction, characterize…
While Post-Earnings-Announcement Drift (PEAD) is one of the most studied stock market anomalies, the current literature is often limited in explaining this phenomenon by a small number of factors using simpler regression methods. In this paper, we use a machine learning based approach instead, and aim to capture the PEAD dynamics using data from a large group of stocks and a wide range of both fundamental and technic…
Long positive-surprise names and short negative-surprise names for weeks after the print — PEAD, the original earnings-momentum.
Fade an already-extended PEAD move — a reversal overlay on the earnings-drift anomaly, not the drift itself.
Long positive-surprise names and short negative-surprise names for weeks after the print — PEAD, the original earnings-momentum.
Fade an already-extended PEAD move — a reversal overlay on the earnings-drift anomaly, not the drift itself.