@article {Jansen88, author = {Ivo Ph. Jansen and Andrei L. Nikiforov}, title = {Fear and Greed: A Returns-Based Trading Strategy around Earnings Announcements }, volume = {42}, number = {4}, pages = {88--95}, year = {2016}, doi = {10.3905/jpm.2016.42.4.088}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/42/4/88}, eprint = {https://jpm.pm-research.com/content/42/4/88.full.pdf}, journal = {The Journal of Portfolio Management} }