%0 Journal Article %A Ivo Ph. Jansen %A Andrei L. Nikiforov %T Fear and Greed: A Returns-Based Trading Strategy around Earnings Announcements %D 2016 %R 10.3905/jpm.2016.42.4.088 %J The Journal of Portfolio Management %P 88-95 %V 42 %N 4 %X 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 %U https://jpm.pm-research.com/content/iijpormgmt/42/4/88.full.pdf