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.
Keywords : Momentum trading ; Earnings releases ;
Post-earnings-announcement drift ; Price signal ;
Predictability
