Post-Earnings Announcement Drift
Long positive-surprise names and short negative-surprise names for weeks after the print — PEAD, the original earnings-momentum.
Definition
Measure standardized unexpected earnings (SUE) or a revision. Hold the long/short for 60 trading days (horizons vary). The drift is the under-reaction story. Costs and the speed of the modern tape are the debate.
Why it matters
It is the textbook event anomaly. Still studied because it sits at the joint of accounting and price discovery.
Case
A beat that is fully in the implied move and the next-day gap. The residual 60-day drift is thinner than the 1980s paper.
How to read it
Surprise definition, hold length, and whether you skip the announcement gap (that gap may be the whole premium).
Key papers
Landmark references with real publisher or arXiv links — not token-overlap noise.
- Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?Bernard, Thomas · 1989 · Journal of Accounting ResearchThe classic PEAD paper.