Swas - Ceta Research (Page 24)

Grouped bar chart showing cumulative abnormal returns by beat streak length at T+1, T+5, T+21, and T+63 windows for Japanese JPX stocks 2009-2025.

earnings

Beat Streaks in Japan: Strongest Immediate Reaction Globally (+0.90% T+1)

Japan shows the highest T+1 abnormal return of any exchange globally. 5,461 events on JPX from 2009-2025. Streak 3 reaches +2.35% at T+63. The pattern is consistent with Japan's concentrated analyst coverage and slower information diffusion.

Cumulative abnormal return (CAR) for M&A targets vs acquirers at T+1, T+5, T+21, T+63 trading days after SEC filing

event-study

What Happens to Acquirer and Target Stocks After M&A Filings

We ran an event study on 2,064 M&A announcements from 2000-2025. Acquirers gained +0.28% at T+1 (t=3.27) and +0.44% at T+5 (t=2.71). The acquirer curse is not in this data. Target T+63 underperformance is a survivorship artifact, not a prediction.

event-study

Post-Earnings Drift in Taiwan: The Miss Penalty Is the Signal

16,497 earnings events on the Taiwan Stock Exchange (2000-2025). Misses drift -1.60% vs TAIEX at T+63 (t=-9.30). Q1 worst misses drop -2.89%. Q5-Q1 spread: +4.37pp, 2nd highest globally. Beats: +0.89% (t=+4.27). Next-day close entry.

Post-Earnings Drift in China: One-Sided Signal on A-Shares

event-study

Post-Earnings Drift in China: Everything Drifts Up on A-Shares

20,319 earnings events across Shenzhen and Shanghai (2000-2025). Beats drift +1.78% vs SSE Composite at T+63 (t=+8.18). Misses drift +0.74% (t=+4.67, also significant). Both sides positive. Q5-Q1 spread: +2.03pp. Next-day close entry.

Cumulative abnormal return (CAR) for earnings beats vs misses on NSE at T+1, T+5, T+21, T+63 trading days

event-study

Post-Earnings Drift in India: The Strongest PEAD Signal in the World

Indian stocks drift +2.89% vs the Sensex after positive earnings surprises over 63 trading days (next-day close entry). Q5-Q1 spread: +5.17pp. In a world where US beats show no post-entry drift, India's signal is the strongest globally.

Bar chart showing beats CAR at T+63 across 16 global exchanges, sorted by magnitude

event-study

Post-Earnings Drift Across 16 Markets: A Global Event Study

PEAD event study on 16 exchanges with MOC entry and local benchmarks. Q5-Q1 positive on 15 of 16. India leads at +5.17pp. US beats don't drift post-entry (-0.40%). Emerging markets show real drift. Developed markets don't.

Cumulative abnormal return (CAR) for TSX earnings beats vs misses at T+63 trading days vs TSX Composite benchmark

event-study

Post-Earnings Drift in Canada: A Modest but Real Signal on the TSX

20,168 earnings events on the TSX (2000-2025). Beats drift +1.13% vs TSX Composite at T+63 (t=+6.98). Misses drift -0.34% (t=-1.87, not significant). Q5-Q1 spread: +2.44pp. Next-day close entry.

Cumulative abnormal return (CAR) for JPX earnings beats vs misses at T+1, T+5, T+21, T+63 trading days vs EWJ benchmark

event-study

Post-Earnings Drift in Japan: The Miss Signal Is What Survives

With MOC entry and the Nikkei as benchmark, Japan's beat drift vanishes (-0.26%, not significant). Misses still decline -0.86% (t=-5.35). Q5-Q1: +1.20pp. The relative signal survives, but the tradeable edge is miss-avoidance.

Cumulative abnormal return (CAR) for earnings beats vs misses at T+1, T+5, T+21, T+63 trading days

event-study

Post-Earnings Announcement Drift: 25 Years of US Data

We analyzed 165,723 earnings events from 2000-2025 on NYSE/NASDAQ/AMEX with next-day close entry. Beats drift -0.40% vs SPY at T+63. Misses decline -0.95%. Q5-Q1 spread: +1.18pp. The announcement-day reaction is the bulk of PEAD. Post-entry, the US signal is a miss-avoidance tool.

S&P 500 index reconstitution cumulative abnormal returns by event window, 2000-2025

event-study

S&P 500 Index Reconstitution: 25 Years of Forced Trade Data

We measured every S&P 500 addition and removal from 2000-2025. Additions underperform SPY by -0.98% in the first week. Removals average +7.22% but the median is +0.73%. Here's what the gap means.

NASDAQ-100 removal cumulative abnormal returns vs QQQ, 2000-2025

event-study

NASDAQ-100 Index Reconstitution: The Cleaner Removal Signal

Stocks removed from the NASDAQ-100 average +5.13% vs QQQ in the 21 days after removal (t=3.29, median +2.61%). 25 years of data, 169 removal events. Here's the methodology and the screen.

stock splits

Stock Splits Signal Something, Just Not What You Think

We analyzed 1,968 forward stock splits on US exchanges from 2000 to 2025. The post-split drift has disappeared in aggregate. But the split ratio tells the real story: 2-for-1 splits still outperform (+2.6%), while 5-for-1+ splits underperform by -11.7%.