Stats › Actions individuelles › Post-earnings drift
Post-earnings drift has gone everywhere except the smallest stocks
Coefficient per one-decile increase in analyst-based earnings surprise rank, on buy-and-hold abnormal return from day plus two to plus sixty, for all but microcap US stocks. The 1984 to 2005 values are significant; 2006 onward are not, except the final period which is significantly negative.
The oldest anomaly in accounting research still works in microcaps and nowhere else. For everything above the smallest fifth of the market, the drift has been statistically zero since 2006 and significantly negative in 2016 to 2019.
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