earnings - Ceta Research (Page 2)

Cumulative abnormal return (CAR) for JPX earnings beats vs misses at T+1, T+5, T+21, T+63 trading days vs the Nikkei 225 benchmark

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Post-Earnings Drift in Japan: The Ranking Is What Survives

With MOC entry and the Nikkei as benchmark, Japan's beat drift vanishes (-0.30%, t=-2.16). Misses land at -0.83% (t=-5.21). Both legs sit below the index, so what survives is the ranking: Q5-Q1 +1.07pp, 2000-2025.

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

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Post-Earnings Announcement Drift: 25 Years of US Data

We analyzed 157,269 earnings events from 2000-2025 on NYSE/NASDAQ/AMEX with next-day close entry. Beats drift -0.32% vs SPY at T+63, misses -0.91%. Both legs sit below SPY, so read the gap: misses trail beats by 0.59pp and the Q5-Q1 spread is +1.34pp.

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

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

18,363 earnings events on TSX+TSXV (2000-2025). Beats drift +1.28% vs TSX Composite at T+63 (t=+8.17). Misses drift -0.08% (t=-0.45, not significant). Q5-Q1 spread: +2.06pp. Next-day close entry.

Grouped bar chart showing cumulative abnormal returns by beat streak length at T+1, T+5, T+21, and T+63 windows for Brazilian B3 stocks 2015-2025.

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Beat Streaks in Brazil: +2.49% T+63 in an Emerging Market

Brazilian beat streaks show back-loaded returns. The day-1 reaction is weak (+0.30%) but the drift builds to +2.49% by day 63. 1,358 events from 2015-2025 on B3. Update Aug 2026: the mirror leg now exists; miss streaks drift -1.52% at T+21 vs the Bovespa.

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

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Beat Streaks in Canada: +1.22% T+21 Over 25 Years on the TSX

Canadian beat streaks produce twice the abnormal return of US stocks. 5,684 events on the TSX from 2000-2025. T+21 CAR of +1.22% vs +0.55% for US. Update Aug 2026: CARs embed the CAD/USD move; the mirror leg now exists (miss streaks -1.46% at T+21 vs the TSX Composite).

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

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Beat Streaks Work Globally, With Exceptions: 16 Exchanges Compared

Earnings beat streaks tested across 16 exchanges, 2000-2025. 15 of 16 show positive T+21 CAR, India highest at +2.10%. Corrected August 2026: Germany and UK withdrawn as cross-listing artifacts. The 2026-08 mirror run adds the missing inverse: 9 of 10 markets pass, miss streaks drift down.

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.

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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, consistent with Japan's thinner analyst coverage. Update Aug 2026: the mirror leg now exists; miss streaks drift -1.97% at T+21 vs the Nikkei.

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.

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

Taiwan drift builds to +1.79% by day 21, streak 3 to +2.60% T+21. 3,721 events from 2012-2025. Corrected August 2026: measured against SPY, so these are a Taiwan-minus-US spread. Update: a paired ^TWII run now shows beats +2.05% and miss streaks -0.92% at T+21. Local, and passes its inverse.

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

16,406 earnings events on Taiwan exchanges TAI+TWO (2000-2025). Misses drift -1.68% vs TAIEX at T+63 (t=-9.72). Q1 worst misses drop -3.13%. Q5-Q1 spread: +4.55pp, highest globally. Beats: +0.85% (t=+4.07). Next-day close entry.

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

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

20,059 earnings events across Shenzhen and Shanghai (2000-2025). Beats drift +1.75% vs SSE Composite at T+63 (t=+8.04). Misses drift +0.70% (t=+4.42, also significant). Both legs up, so the level is a coverage premium and the Q5-Q1 spread of +2.14pp is the earnings signal.