Post-Earnings Drift

PEAD

Stocks with high Standardized Unexpected Earnings (SUE) continue to drift in the surprise direction for up to 60 trading days. SUE = (actual − consensus) / σ(forecasts). |SUE| > 1.0 = drift signal; |SUE| > 2.0 = strong. Sorted by |SUE| descending. NOT investment advice.

Long Signals

—

Short Signals

—

Avg |SUE|

—

Avg Expected Drift

—

Candidates

—

Loading PEAD signals…

Methodology — SUE-based PEAD per Bernard-Thomas (1989 JAR). Expected returns calibrated against Chordia-Goyal-Saretto (2020) empirical drift estimates (60d window, 10bps cost assumed).
Drift estimates: SUE >+2.0 → +3.4% (CI95: [+1.6%,+5.2%], N=1,100) | SUE +1–2 → +1.8% (CI95: [+0.6%,+3.0%], N=4,500) | SUE <-1 → -1.5% | SUE <-2 → -2.9%. Cluster amplifier 1.4× when insider Form-4 buy within 30d of earnings (Battalio-Mendenhall 2005). Persistence decays linearly over 60 trading days.
All estimates tagged [ARCHITECTURAL-pending-Brier-N≥30-validation].

Bernard-Thomas (1989) Chordia-Goyal-Saretto (2020) Foster-Olsen-Shevlin (1984) Battalio-Mendenhall (2005)