event study - Trading Studio (Page 2)

Pre-earnings CAR in Japan by beat-rate category vs Nikkei 225: overall -0.014%, mixed -0.024%, beater +0.130% (not sig)

event study

Pre-Earnings Runup in Japan: The Effect Disappears Against the Nikkei

15,216 JPX earnings events from 2017-2025. When benchmarked against the Nikkei 225 instead of EWJ, the pre-earnings drift drops to -0.014% (t=-0.36). Not significant. The original +0.114% result was a benchmark artifact.

Pre-earnings CAR in Korea by beat-rate category: all categories show similar drift regardless of beat history

event study

Pre-Earnings Runup in Korea: +0.71% Drift, But Beat Rate Doesn't Explain It

6,626 KOSPI earnings events from 2016-2025. Pre-earnings drift averages +0.709% vs KOSPI in 10 days before announcements. Both habitual missers (+0.610%) and mixed stocks (+0.728%) show the same drift. Beat rate doesn't matter in Korea.

Pre-earnings CAR by beat-rate category: habitual beaters +0.267%, mixed +0.054%, missers -0.469% over 10 trading days before earnings announcements

event study

Pre-Earnings Runup: 25 Years of US Data Shows Beat Rate Matters

163,661 US earnings events from 2000-2025. Habitual beaters drift +0.266% vs S&P 500 in 10 days before announcements. Habitual missers fall -0.479%. The spread between best and worst beat-rate quintiles is 53bp.

Grouped bar chart showing cumulative abnormal returns by dip size at T+5, T+10, T+21, and T+63 windows for Taiwan stocks 2014-2025. Sharp dip category shows strong positive reversion.

earnings

Post-Earnings Dip in Taiwan: Beat + 10% Sell-Off Produces +6.6% Recovery

Taiwan is the exception in a global beat-and-dip study. 384 events from 2014–2025 show statistically significant mean reversion: +1.76%** at T+21 overall, and +6.58%** for the 10–20% dip category. Every other market in the study shows flat or negative drift.

earnings

Post-Earnings Dip in India: Flat for a Month, Then +2.54%** at Three Months

India beat-and-dip events show a delayed reversion pattern. T+21 is flat (-0.17%, t=-0.42). T+63 is +2.54%** (t=3.55). 467 events from BSE and NSE, with 78% from 2023–2024 — a data caveat worth understanding before trading on this.

Grouped bar chart showing cumulative abnormal returns by dip size at T+5, T+10, T+21, and T+63 windows for US stocks 2000-2025. All categories show negative drift.

earnings

Post-Earnings Dip Backtest: 13,950 Events Say Don't Buy the Beat-and-Dip

We tested 13,950 beat-and-dip events on US stocks from 2000–2025. Stocks that beat earnings but sell off 5%+ don't recover — they keep underperforming. T+63 CAR is -0.84% (t=-4.53). The sell-off is not an overreaction; it's information.

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 US stocks 2000-2025.

earnings

Earnings Beat Streaks: Does Consecutive Beating Drive Stock Returns?

We analyzed 73,386 beat streak events across US exchanges from 2000-2025. A second consecutive earnings beat produces +0.77% T+21 abnormal return vs SPY. The sweet spot is streak 2 and 3. Very long streaks show diminishing returns.

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.

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 Indian BSE and NSE stocks 2020-2025.

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Beat Streaks in India: +5.05% T+63 — and Why You Should Read the Fine Print

India shows the highest beat-streak returns globally at +5.05% T+63. But 95% of events are from 2022-2025. We publish the results with full transparency about the data coverage. The signal is real for that period. Whether it continues is an open question.

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.