Post-earnings drift
The tendency of a stock to keep moving in the direction of its earnings surprise for weeks.
Post-earnings announcement drift is one of the most published findings in finance: after a company reports results that surprise the market, the stock does not fully react on the day; it keeps drifting in the same direction for weeks, as if investors absorbed the news slowly. Documented in the 1960s, confirmed for decades, taught in every course.
That history is exactly why it is worth testing again. Once an effect is published, people trade it, and it fades first where the most professionals compete: the largest companies. The logbook measured the drift on fifty six thousand announcements since 1993, in US large caps, with real costs, and found less than one basis point per event. Not decayed; gone.
The name survives in the pitch, "ride the drift", long after the drift has left the stocks the pitch is sold on.
Where this word comes up
First needed in the log entry H-042 · The post-earnings bounce did not survive our cost assumptions.
From the same entry: Backtest, Basis point, Buy the dip, Correction for looking twice, Gross edge, Index membership, Large caps, Net return, Pre-registration, Published anomaly, Quarterly results, Real costs, RSI indicator, Short side, Survivors only, Terciles.