event study - Ceta Research (Page 3)

earnings surprise

Earnings Surprise Drift in Thailand: A Beat-Side Market After the Correction

Thailand's earnings drift is a beat-side signal vs the local SET Index. Biggest beats +1.34% at T+63, or +1.50% net of baseline, and the miss side is weaker and not significant. Q5-Q1 spread: +2.22%.

earnings surprise

Post-Earnings Drift Across 13 Global Exchanges: The Drift Shrinks Everywhere

We tested Post-Earnings Announcement Drift on 13 global exchanges with 280,000+ events, 2000-2025, entering at the next day's close. The tradeable drift is far smaller than same-day studies show. Taiwan leads (+4.52% spread), India leads the beat side.

earnings surprise

Earnings Surprise Drift in the UK: A Modest Beat-Side Signal

UK earnings drift is a beat-side signal vs the FTSE 100. Biggest beats produce +1.18% CAR at T+63, or +1.38% net of baseline. The miss side does almost nothing. Q5-Q1 spread: +1.59%.

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.

earnings

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. Streak 3 and streak 5+ both reach +3.1% at T+63. 1,358 events from 2015-2025 on B3.

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.

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 Canadian TSX stocks 2000-2025.

earnings

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. The drift keeps building to +1.76% at T+63.

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%.