Post Earnings Announcement Drift (PEAD) in Polish Stock Market

46 Pages Posted: 2 Oct 2020 Last revised: 26 Oct 2020

Date Written: April 25, 2018


This paper is devoted to studying stock market behaviour after earnings announcement, which is often referred to as Post Earnings Announcement Drift (PEAD). In this work I present details how the anomaly works in the Polish stock market. I examined data series in period from 1998 to 2017. The general conclusions of this paper are very similar to the academic studies based on US market. The Post Earnings Announcement Drift is present in the polish market beyond doubt, its magnitude is around 6.1% in 90 days, with larger magnitude found among smaller companies 5.2% and smaller among large cap 3.1%. Its course is also similar to previous academic evidence – the highest abnormal returns are achieved in the first 10 days after announcement and in the 14 days preceding next report announcement. The effect lasts for more than a year, with longer effect among small caps and shorter effect among large caps.

Keywords: PEAD, Post Earnings Announcement Drift, Anomalies, Poland, Market Efficiency

JEL Classification: G14, G15, M41

Suggested Citation

Sojka, Marek, Post Earnings Announcement Drift (PEAD) in Polish Stock Market (April 25, 2018). Available at SSRN:

Marek Sojka (Contact Author)

Bonum Quant Research ( email )

Oxford, Oxfordshire
United Kingdom

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