Fear and Greed: A Returns-Based Trading Strategy around Earnings Announcements
研究发现盈利公告前一周股价异常波动的股票在公告日附近出现反转，据此构建的交易策略在42年中有40年盈利，两日窗口超额收益超1.3%。
This article documents that earnings announcements serve as a reality check on short-term, fear- and greed-driven price development. Stocks with extreme abnormal returns in the week before an earnings announcement experience strong price reversals around the announcement. Basedon the findings of the authors, a trading strategy that exploits this reversal would have been profitable in 40 of the last 42 years and earned abnormal returns in excess of 1.3% over a two day-window. <b>TOPICS:</b>In markets, portfolio management/multi-asset allocation