earnings - Ceta Research

Pre-earnings T-10 CAR comparison across 14 global markets with local benchmarks, ranging from Korea +0.709% to UK -0.192%

event study

Pre-Earnings Runup: 14 Markets, Local Benchmarks, Honest Results

Pre-earnings drift across 14 markets with local currency benchmarks. Korea leads at +0.709% vs KOSPI, India +0.587% vs Sensex. Japan's effect disappeared vs Nikkei. Taiwan flipped from negative to positive. Benchmark choice matters.

Pre-earnings CAR in Japan by beat-rate category vs Nikkei 225: overall -0.014%, mixed -0.024%, beater +0.130% (not sig)

event study

Pre-Earnings Runup in Japan: The Effect Disappears Against the Nikkei

15,216 JPX earnings events from 2017-2025. When benchmarked against the Nikkei 225 instead of EWJ, the pre-earnings drift drops to -0.014% (t=-0.36). Not significant. The original +0.114% result was a benchmark artifact.

Pre-earnings CAR in Korea by beat-rate category: all categories show similar drift regardless of beat history

event study

Pre-Earnings Runup in Korea: +0.71% Drift, But Beat Rate Doesn't Explain It

6,626 KOSPI earnings events from 2016-2025. Pre-earnings drift averages +0.709% vs KOSPI in 10 days before announcements. Both habitual missers (+0.610%) and mixed stocks (+0.728%) show the same drift. Beat rate doesn't matter in Korea.

Pre-earnings CAR by beat-rate category: habitual beaters +0.267%, mixed +0.054%, missers -0.469% over 10 trading days before earnings announcements

event study

Pre-Earnings Runup: 25 Years of US Data Shows Beat Rate Matters

163,661 US earnings events from 2000-2025. Habitual beaters drift +0.266% vs S&P 500 in 10 days before announcements. Habitual missers fall -0.479%. The spread between best and worst beat-rate quintiles is 53bp.

earnings

Beat Earnings, Stock Still Drops 5%: What Happens Next in 12 Markets

We ran a beat-and-dip event study on 12 exchanges. The question: when a company beats earnings estimates but the stock sells off 5% or more anyway, does it recover? In 10 of 12 markets, the answer is no. The sell-off either persists or the stock goes nowhere. Contents 1. The

Grouped bar chart showing cumulative abnormal returns by dip size at T+5, T+10, T+21, and T+63 windows for Taiwan stocks 2014-2025. Sharp dip category shows strong positive reversion.

earnings

Post-Earnings Dip in Taiwan: Beat + 10% Sell-Off Produces +6.6% Recovery

Taiwan is the exception in a global beat-and-dip study. 384 events from 2014–2025 show statistically significant mean reversion: +1.76%** at T+21 overall, and +6.58%** for the 10–20% dip category. Every other market in the study shows flat or negative drift.

earnings

Post-Earnings Dip in India: Flat for a Month, Then +2.54%** at Three Months

India beat-and-dip events show a delayed reversion pattern. T+21 is flat (-0.17%, t=-0.42). T+63 is +2.54%** (t=3.55). 467 events from BSE and NSE, with 78% from 2023–2024 — a data caveat worth understanding before trading on this.

Grouped bar chart showing cumulative abnormal returns by dip size at T+5, T+10, T+21, and T+63 windows for US stocks 2000-2025. All categories show negative drift.

earnings

Post-Earnings Dip Backtest: 13,950 Events Say Don't Buy the Beat-and-Dip

We tested 13,950 beat-and-dip events on US stocks from 2000–2025. Stocks that beat earnings but sell off 5%+ don't recover — they keep underperforming. T+63 CAR is -0.84% (t=-4.53). The sell-off is not an overreaction; it's information.

Horizontal bar chart showing T+21 cumulative abnormal returns for beat streaks across 16 global exchanges sorted by magnitude.

earnings

Beat Streaks Work Globally — With Exceptions: 16 Exchanges Compared

We tested earnings beat streaks across 16 exchanges covering 102,577 streak events. 12 of 16 exchanges show positive T+21 CAR. India leads at +2.10% T+21 but with recent data caveat. Thailand shows negative drift. The immediate T+1 reaction is positive on every exchange tested.

Grouped bar chart showing cumulative abnormal returns by beat streak length at T+1, T+5, T+21, and T+63 windows for US stocks 2000-2025.

earnings

Earnings Beat Streaks: Does Consecutive Beating Drive Stock Returns?

We analyzed 73,386 beat streak events across US exchanges from 2000-2025. A second consecutive earnings beat produces +0.77% T+21 abnormal return vs SPY. The sweet spot is streak 2 and 3. Very long streaks show diminishing returns.

Grouped bar chart showing cumulative abnormal returns by beat streak length at T+1, T+5, T+21, and T+63 windows for Taiwanese stocks 2012-2025.

earnings

Beat Streaks in Taiwan: +1.79% T+21 in a Tech-Heavy Market

Taiwan shows delayed post-announcement drift that builds to +1.79% by day 21. Streak 3 reaches +2.60% T+21 and +2.75% T+63. 3,721 events from 2012-2025. The muted day-1 reaction followed by strong drift suggests gradual information incorporation.

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.