Post Earnings Announcement Drift, a Price Signal?

Posted: 31 May 2015

See all articles by Julien Messias

Julien Messias

Université Paris Dauphine; Quantology Capital Management

Date Written: March 4, 2015


This paper investigates the robustness of post-earnings-announcement-drift (PEAD) on a price signal perspective, unlike the traditional literature that focuses on fundamental signal. The studied period is 2003-2015, for four main US indices. The results suggest that some economic agents are too slow to integrate the information, although they still have a major market impact. We find a strong empirical evidence of the preeminence of this bias for Momentum stocks rather than blue-chips or non-Momentum small-caps. Even by challenging the strategy, the conclusion remains strong with abnormal returns linked to such market inefficiency, with better returns for positive signals than negative ones. We choose Nasdaq Composite as the backbone of our development as it is the closest index to Uncia’s field of expertise. For indices known as Momentum, we find strong predictability of the systematic net exposure, the latter being a consequence of the long and short positions implied by the earnings signals.

Keywords: Momentum trading; Earnings releases; Post-earnings-announcement drift; Price signal; Predictability

JEL Classification: G11, G31, G12, G14

Suggested Citation

Messias, Julien, Post Earnings Announcement Drift, a Price Signal? (March 4, 2015). Available at SSRN: or

Julien Messias (Contact Author)

Université Paris Dauphine ( email )

Place du Maréchal de Tassigny
Paris, Cedex 16 75775

Quantology Capital Management ( email )

5 Avenue Ingres
PARIS, 75016
678066563 (Phone)

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