Glossary
PEAD (post-earnings-announcement drift)
The tendency for a stock to keep drifting in the direction of an earnings surprise for weeks after the report. We found no after-cost edge from it out-of-sample.
In plain terms
PEAD is one of the oldest documented anomalies (first papers in the late 1960s): the market under-reacts to earnings news, so a positive surprise keeps paying for weeks. Its persistence embarrassed efficient-market theory for decades.
Old and famous is exactly the problem — well-known anomalies get arbitraged thin. In our Japanese-equity tests the post-announcement drift that remained was too small to survive spreads and taxes on the frequent trading it requires.
Related terms
Educational definitions only. Not investment advice.