event study - Ceta Research (Page 2)

CAR after analyst upgrades and downgrades on US stocks. Clustered upgrades reach +0.92% at T+21 vs single upgrades at +0.18%. Downgrades fall to -1.48% at T+63.

analyst ratings

Do Analyst Upgrades Actually Move Stock Prices? We Measured 66,742 of Them

We ran an event study on 13 years of individual analyst rating changes on US stocks. The average upgrade produces +0.65% abnormal return on day one, but not all upgrades are equal: when two or more analysts upgrade the same stock within 30 days of each other, the drift

CAR after analyst upgrades on XETRA German stocks. Upgrades grow from +0.57% at T+1 to +2.63% at T+63. Downgrades start negative but fully reverse to +0.82% by T+63.

analyst ratings

Analyst Upgrades in Germany: Drift Grows to +2.6% Over 3 Months

Analyst Upgrades in Germany: Drift Grows to +2.6% Over 3 Months We measured 12,585 individual analyst upgrades on XETRA-listed German stocks from 2012 to 2025 and found something different from the US: the drift doesn't fade. It keeps growing for three months. Contents 1. Method 2.

Grouped bar chart showing cumulative abnormal returns by upgrade cluster size (small, medium, large) at T+1, T+5, T+21, and T+63 windows. US exchanges, 2019-2025.

analyst ratings

Analyst Upgrade Clusters: 5,884 Events, One Persistent Pattern

We tested analyst upgrade clusters on US exchanges from 2019-2025. When 2+ analysts move bullish simultaneously, the T+1 abnormal return is +0.475% (t=11.42). But the real finding is in the cluster size: medium clusters (delta 3-4) produce +1.068% at T+21, while large clusters fade completely.

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.