TY - JOUR T1 - Fear and Greed: <em>A Returns-Based Trading Strategy around Earnings Announcements</em> JF - The Journal of Portfolio Management SP - 88 LP - 95 DO - 10.3905/jpm.2016.42.4.088 VL - 42 IS - 4 AU - Ivo Ph. Jansen AU - Andrei L. Nikiforov Y1 - 2016/05/31 UR - https://pm-research.com/content/42/4/88.abstract N2 - 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.TOPICS: In markets, portfolio management/multi-asset allocation ER -