event-study - Trading Studio

Corporate Spinoff CAR Trajectory: Parent vs Child Returns vs SPY (2011-2024)

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Corporate Spinoffs: Both Parent and Child Underperform SPY for Six Months. Here's What Happens After.

We tracked 30 major US corporate spinoffs (2011-2024) at six time horizons. The forced-selling effect is real and statistically confirmed at T+5 (-3.5%, p<0.05). The long-run recovery is positive but driven by outliers — GEV +108%, REZI -68%. Full data and SQL included.

Cumulative abnormal return (CAR) for M&A targets vs acquirers at T+1, T+5, T+21, T+63 trading days after SEC filing

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What Happens to Acquirer and Target Stocks After M&A Filings

We ran an event study on 2,064 M&A announcements from 2000-2025. Acquirers gained +0.28% at T+1 (t=3.27) and +0.44% at T+5 (t=2.71). The acquirer curse is not in this data. Target T+63 underperformance is a survivorship artifact, not a prediction.

event-study

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

16,497 earnings events on the Taiwan Stock Exchange (2000-2025). Misses drift -1.60% vs TAIEX at T+63 (t=-9.30). Q1 worst misses drop -2.89%. Q5-Q1 spread: +4.37pp, 2nd highest globally. Beats: +0.89% (t=+4.27). Next-day close entry.

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

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

20,319 earnings events across Shenzhen and Shanghai (2000-2025). Beats drift +1.78% vs SSE Composite at T+63 (t=+8.18). Misses drift +0.74% (t=+4.67, also significant). Both sides positive. Q5-Q1 spread: +2.03pp. Next-day close entry.

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

20,168 earnings events on the TSX (2000-2025). Beats drift +1.13% vs TSX Composite at T+63 (t=+6.98). Misses drift -0.34% (t=-1.87, not significant). Q5-Q1 spread: +2.44pp. Next-day close entry.

Bar chart showing beats CAR at T+63 across 16 global exchanges, sorted by magnitude

event-study

Post-Earnings Drift Across 16 Markets: A Global Event Study

PEAD event study on 16 exchanges with MOC entry and local benchmarks. Q5-Q1 positive on 15 of 16. India leads at +5.17pp. US beats don't drift post-entry (-0.40%). Emerging markets show real drift. Developed markets don't.

Cumulative abnormal return (CAR) for earnings beats vs misses on BSE+NSE at T+1, T+5, T+21, T+63 trading days

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Post-Earnings Drift in India: The Strongest PEAD Signal in the World

Indian stocks drift +2.89% vs the Sensex after positive earnings surprises over 63 trading days (next-day close entry). Q5-Q1 spread: +5.17pp. In a world where US beats show no post-entry drift, India's signal is the strongest globally.

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

event-study

Post-Earnings Announcement Drift: 25 Years of US Data

We analyzed 165,723 earnings events from 2000-2025 on NYSE/NASDAQ/AMEX with next-day close entry. Beats drift -0.40% vs SPY at T+63. Misses decline -0.95%. Q5-Q1 spread: +1.18pp. The announcement-day reaction is the bulk of PEAD. Post-entry, the US signal is a miss-avoidance tool.

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

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

With MOC entry and the Nikkei as benchmark, Japan's beat drift vanishes (-0.26%, not significant). Misses still decline -0.86% (t=-5.35). Q5-Q1: +1.20pp. The relative signal survives, but the tradeable edge is miss-avoidance.

S&P 500 index reconstitution cumulative abnormal returns by event window, 2000-2025

event-study

S&P 500 Index Reconstitution: 25 Years of Forced Trade Data

We measured every S&P 500 addition and removal from 2000-2025. Additions underperform SPY by -0.98% in the first week. Removals average +7.22% but the median is +0.73%. Here's what the gap means.

NASDAQ-100 removal cumulative abnormal returns vs QQQ, 2000-2025

event-study

NASDAQ-100 Index Reconstitution: The Cleaner Removal Signal

Stocks removed from the NASDAQ-100 average +5.13% vs QQQ in the 21 days after removal (t=3.29, median +2.61%). 25 years of data, 169 removal events. Here's the methodology and the screen.