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Stats › Individual stocks › Post-earnings drift

Post-earnings drift has gone everywhere except the smallest stocks

1984 1990: 0.003+0.003198419901991 1995: 0.003+0.003199119951996 2000: 0.001+0.001199620002001 2005: 0.002+0.002200120052006 2010: -0.001-0.001200620102011 2015: 0.0000.000201120152016 2019: -0.002-0.00220162019

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.

-0.002Drift coefficient for all but microcap stocks, 2016 to 2019, significant
SixfoldRise in the announcement-day reaction for those same stocks since 1984
0.01%Monthly SUE premium in 1994 to 2011, against 0.14% in 1976 to 1993
About 3%Share of US market value held by the microcaps where drift survives

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Below this point there are 5 sections, 1 chart and 4 named sources, roughly 550 words of it. Every figure carries the source it came from and the date the data is from.

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