event study - Trading Studio (Page 3)

earnings surprise

Earnings Surprise Drift in Japan: Mostly the Announcement Day

Japan PEAD looks strong until you enter a day late. The Q5-Q1 spread drops to +0.82%, the weakest major market. Biggest beats show no significant drift, and misses hold up vs near-consensus. It was mostly the announcement day.

earnings surprise

Earnings Surprise Drift in India: The Strongest Beat-Side Drift We Found

India has the strongest beat-side earnings drift we found. Positive surprises produce +2.78% CAR at T+63 vs Sensex, and it survives a next-day entry. Q5 biggest beats reach +3.83%. Q5-Q1 spread: +4.08%.

earnings surprise

Earnings Surprise Drift on US Stocks: Most of It Vanishes If You Wait One Day

We tested 161,243 US earnings announcements from 2000 to 2025 and entered at the next day's close. The beat-side drift vanishes, and only the miss side survives (Q1 -1.46%). Q5-Q1 spread: +1.42%.

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. 1,358 events from 2015-2025 on B3. Update Aug 2026: the mirror leg now exists; miss streaks drift -1.52% at T+21 vs the Bovespa.

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. Update Aug 2026: CARs embed the CAD/USD move; the mirror leg now exists (miss streaks -1.46% at T+21 vs the TSX Composite).

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

Earnings beat streaks tested across 16 exchanges, 2000-2025. 15 of 16 show positive T+21 CAR, India highest at +2.10%. Corrected August 2026: Germany and UK withdrawn as cross-listing artifacts. The 2026-08 mirror run adds the missing inverse: 9 of 10 markets pass, miss streaks drift down.

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, consistent with Japan's thinner analyst coverage. Update Aug 2026: the mirror leg now exists; miss streaks drift -1.97% at T+21 vs the Nikkei.

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 drift builds to +1.79% by day 21, streak 3 to +2.60% T+21. 3,721 events from 2012-2025. Corrected August 2026: measured against SPY, so these are a Taiwan-minus-US spread. Update: a paired ^TWII run now shows beats +2.05% and miss streaks -0.92% at T+21. Local, and passes its inverse.

stock splits

Stock Splits Signal Something, Just Not What You Think

1,968 forward stock splits on US exchanges, 2000 to 2025. Post-split drift is gone in aggregate. Corrected August 2026: our -11.67% result for 5-for-1+ splits was mostly fund share splits and encoding errors. The genuine leg is -7.14%, not significant.