event study - Trading Studio (Page 3)

earnings surprise

Earnings Surprise Drift in the UK: Both Sides Active, Miss Side Leads

UK earnings beats produce +1.13% CAR at T+63 vs FTSE 100. Q5 biggest beats reach +1.83%. Misses produce -1.01%. The Q5-Q1 spread (+3.19%) has contributions from both sides.

earnings surprise

Earnings Surprise Drift on US Stocks: 170,000 Events, 26 Years

We ran an event study on 170,000 US earnings announcements from 2000 to 2025. The drift is real, but asymmetric: misses cause 8x more drift than beats.

earnings

Beat Earnings, Stock Still Drops 5%: What Happens Next in 12 Markets

18,925 beat-and-dip events across 12 exchanges with local benchmarks. Taiwan: +2.20%** at T+21. UK: +1.33%** (new). China: +2.35%** at T+63 (new). US: -0.85%** (continues falling). India lost its signal when measured vs Sensex instead of a USD ETF.

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: 13,954 Events Say Don't Buy the Beat-and-Dip

We tested 13,954 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 -0.85% (t=-4.56). The sell-off is not an overreaction; it's information.

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.

stock splits

Stock Splits Signal Something, Just Not What You Think

We analyzed 1,968 forward stock splits on US exchanges from 2000 to 2025. The post-split drift has disappeared in aggregate. But the split ratio tells the real story: 2-for-1 splits still outperform (+2.6%), while 5-for-1+ splits underperform by -11.7%.