earnings - Trading Studio (Page 2)

Cumulative abnormal return (CAR) for JPX earnings beats vs misses at T+1, T+5, T+21, T+63 trading days vs EWJ benchmark

event-study

Post-Earnings Drift in Japan: The Miss Signal Is What Survives

With MOC entry and the Nikkei as benchmark, Japan's beat drift vanishes (-0.30%, t=-2.16). Misses still decline -0.83% (t=-5.21). Q5-Q1: +1.07pp. The relative signal survives, but the tradeable edge is miss-avoidance.

Cumulative abnormal return (CAR) for TSX earnings beats vs misses at T+63 trading days vs TSX Composite benchmark

event-study

Post-Earnings Drift in Canada: A Modest but Real Signal on the TSX

18,363 earnings events on TSX+TSXV (2000-2025). Beats drift +1.28% vs TSX Composite at T+63 (t=+8.17). Misses drift -0.08% (t=-0.45, not significant). Q5-Q1 spread: +2.06pp. Next-day close entry.

Bar chart showing beats CAR at T+63 across 14 global exchanges, sorted by magnitude

event-study

Post-Earnings Drift Across 14 Markets: A Global Event Study

PEAD event study on 14 exchanges with MOC entry and local benchmarks. Q5-Q1 positive on 13 of 14. Taiwan leads at +4.55pp, India at +4.28pp. US beats don't drift post-entry (-0.32%). Asia-Pacific markets show real drift. Major developed markets don't.

Grouped bar chart showing cumulative abnormal returns by beat streak length at T+1, T+5, T+21, and T+63 windows for Brazilian B3 stocks 2015-2025.

earnings

Beat Streaks in Brazil: +2.49% T+63 in an Emerging Market

Brazilian beat streaks show back-loaded returns. The day-1 reaction is weak (+0.30%) but the drift builds to +2.49% by day 63. Streak 3 and streak 5+ both reach +3.1% at T+63. 1,358 events from 2015-2025 on B3.

Grouped bar chart showing cumulative abnormal returns by beat streak length at T+1, T+5, T+21, and T+63 windows for Canadian TSX stocks 2000-2025.

earnings

Beat Streaks in Canada: +1.22% T+21 Over 25 Years on the TSX

Canadian beat streaks produce twice the abnormal return of US stocks. 5,684 events on the TSX from 2000-2025. T+21 CAR of +1.22% vs +0.55% for US. The drift keeps building to +1.76% at T+63.

Horizontal bar chart showing T+21 cumulative abnormal returns for beat streaks across 16 global exchanges sorted by magnitude.

earnings

Beat Streaks Work Globally — With Exceptions: 16 Exchanges Compared

We tested earnings beat streaks across 16 exchanges covering 102,577 streak events. 12 of 16 exchanges show positive T+21 CAR. India leads at +2.10% T+21 but with recent data caveat. Thailand shows negative drift. The immediate T+1 reaction is positive on every exchange tested.

Grouped bar chart showing cumulative abnormal returns by beat streak length at T+1, T+5, T+21, and T+63 windows for Japanese JPX stocks 2009-2025.

earnings

Beat Streaks in Japan: Strongest Immediate Reaction Globally (+0.90% T+1)

Japan shows the highest T+1 abnormal return of any exchange globally. 5,461 events on JPX from 2009-2025. Streak 3 reaches +2.35% at T+63. The pattern is consistent with Japan's concentrated analyst coverage and slower information diffusion.

Grouped bar chart showing cumulative abnormal returns by beat streak length at T+1, T+5, T+21, and T+63 windows for Taiwanese stocks 2012-2025.

earnings

Beat Streaks in Taiwan: +1.79% T+21 in a Tech-Heavy Market

Taiwan shows delayed post-announcement drift that builds to +1.79% by day 21. Streak 3 reaches +2.60% T+21 and +2.75% T+63. 3,721 events from 2012-2025. The muted day-1 reaction followed by strong drift suggests gradual information incorporation.

Post-Earnings Drift in China: One-Sided Signal on A-Shares

event-study

Post-Earnings Drift in China: Everything Drifts Up on A-Shares

20,059 earnings events across Shenzhen and Shanghai (2000-2025). Beats drift +1.75% vs SSE Composite at T+63 (t=+8.04). Misses drift +0.70% (t=+4.42, also significant). Both sides positive. Q5-Q1 spread: +2.14pp. Next-day close entry.

event-study

Post-Earnings Drift in Taiwan: The Miss Penalty Is the Signal

16,406 earnings events on Taiwan exchanges TAI+TWO (2000-2025). Misses drift -1.68% vs TAIEX at T+63 (t=-9.72). Q1 worst misses drop -3.13%. Q5-Q1 spread: +4.55pp, highest globally. Beats: +0.85% (t=+4.07). Next-day close entry.