RT Journal Article
SR Electronic
T1 Fear and Greed: <em>A Returns-Based Trading Strategy around Earnings Announcements</em>
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 88
OP 95
DO 10.3905/jpm.2016.42.4.088
VO 42
IS 4
A1 Ivo Ph. Jansen
A1 Andrei L. Nikiforov
YR 2016
UL https://pm-research.com/content/42/4/88.abstract
AB 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