earnings surprise
Japan has the second-highest beat rate of any exchange we tested: 57.3% of earnings announcements come in above estimates. The drift is real in both directions. Biggest beats produce +3.02% cumulative abnormal return at T+63. Biggest misses fall -2.00%. The Q5-Q1 spread of +5.01% puts
earnings surprise
India has the largest earnings surprise drift of any exchange we tested. Beat the estimate on BSE or NSE and your stock produces +4.84% cumulative abnormal return over the following 63 trading days. That's 20x the equivalent figure for US stocks (+0.24%). The Q5-Q1 quintile spread
earnings surprise
China has the lowest beat rate of any exchange in our global study: just 34.6% of earnings announcements come in above analyst estimates. Two-thirds of Chinese companies miss. Despite this, when they do beat, the drift is real and sustained. Positive surprises produce +2.48% CAR at T+63.
earnings surprise
Canada's earnings surprise drift is clean, bilateral, and well-behaved. With a 50.5% beat rate, TSX earnings announcements split nearly evenly between beats and misses. Both sides drift in the expected direction. Biggest beats produce +2.27% cumulative abnormal return at T+63, biggest misses produce -1.87%
earnings surprise
Brazil is a positive-side PEAD market. Earnings beats produce +2.59% cumulative abnormal return at T+63. Misses produce just -0.24%, which isn't statistically significant. The Q5-Q1 spread of +3.38% is driven almost entirely by the positive tail. If you want to implement PEAD in Brazil,
momentum
India returned 26.73% annually. The UK returned 2.93%. Same signal. Same parameters. Same rebalance dates. The gap isn't explained by luck or sample size. It reflects a fundamental difference in who trades these markets and how they process information. Contents 1. Method 2. Full Results 3.
momentum
Stocks near their 52-week high tend to keep outperforming. That's the core finding from George & Hwang (2004), one of the most replicated results in behavioral finance. We tested it on US stocks from 2000 to 2025 using a systematic quarterly screen. The strategy returned 12.78% annually
momentum
We ran the 52-week high proximity strategy on Thai stocks (SET) from 2000 to 2025. The result: 12.55% annualized, +4.54% above the S&P 500, 46.8% down capture. A $1 investment grew to $19.99. Thailand is a surprising result, a frontier-adjacent emerging market where a
momentum
We ran the 52-week high proximity strategy on Korean stocks (KSC) from 2000 to 2025. The result: 11.43% annualized, +3.42% above the S&P 500, 39.1% down capture. A $1 investment grew to $15.23. The strategy held cash for roughly a fifth of the 25
momentum
We ran the 52-week high proximity strategy on Japanese stocks (JPX) from 2000 to 2025. The result: 8.89% annualized, +0.88% above the S&P 500, Sharpe of 0.548. A $1 investment grew to $7.96. The S&P 500 returned $7.30 over the same
momentum
We ran the 52-week high proximity strategy on Indian stocks (BSE + NSE) from 2000 to 2025. The result: 26.73% annualized, 23.4% down capture, Sharpe of 0.735. A $1 investment grew to $444.67. The S&P 500 returned $7.30 over the same period. Contents 1.
working capital
We tested working capital efficiency as a stock selection signal across the full US equity universe from 2000 to 2025. The result: 10.10% CAGR vs the S&P 500's 7.64%, with a down capture ratio of just 22%. For every dollar the market lost in