event-study - Trading Studio

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

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Corporate Spinoffs: Children Return +8% Above SPY After One Year, But Half the Edge Comes From 5 Stocks

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 2,069 M&A announcements from 2000-2025. The acquirer positive signal from earlier research was a same-day entry artifact. With tradeable next-day execution, acquirers show no significant drift. Targets drift negative from T+5.

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

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Post-Earnings Announcement Drift: 25 Years of US Data

We analyzed 157,269 earnings events from 2000-2025 on NYSE/NASDAQ/AMEX with next-day close entry. Beats drift -0.32% vs SPY at T+63. Misses decline -0.91%. Q5-Q1 spread: +1.34pp. The announcement-day reaction is the bulk of PEAD. Post-entry, the US signal is a miss-avoidance tool.

Cumulative abnormal return (CAR) for earnings beats vs misses on 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

NSE stocks drift +2.93% vs the Sensex after positive earnings surprises over 63 trading days (next-day close entry). Q5-Q1 spread: +4.28pp. In a world where US beats show no post-entry drift, India's signal is the strongest globally.

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 (-0.30%, 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

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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

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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.

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

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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 -0.82% in the first week. Removals average +4.01% but the median is +0.56%. Here's what the gap means.

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

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NASDAQ-100 Index Reconstitution: The Cleaner Removal Signal

Stocks removed from the NASDAQ-100 average +4.90% vs QQQ in the 21 days after removal (t=3.11, median +2.61%). 25 years of data, 163 removal events. Here's the methodology and the screen.

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

20,059 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.

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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.