Earnings announcement excess returns
factor.formula
Earnings announcement excess return =
in:
- :
The cumulative return of a stock during the earnings announcement event window. The event window usually includes the announcement date and several trading days before and after it, such as 3 days (announcement date - 1, announcement date, announcement date + 1) or 5 days (announcement date - 2, announcement date - 1, announcement date, announcement date + 1, announcement date + 2). The return can be calculated using a simple return or a logarithmic return.
- :
The cumulative rate of return of the benchmark index during the earnings announcement event window. The selection of the benchmark index usually adopts an index that matches the market, industry or style of the individual stock, such as the CSI 300 Index, CSI 500 Index, industry index, etc. The calculation method of the rate of return should be consistent with that of the individual stock.
factor.explanation
The earnings announcement excess return represents the difference between the actual cumulative return of an individual stock during the earnings announcement event window and the cumulative return of the benchmark index during the same period. A positive value indicates that the individual stock return is higher than the benchmark return, and there may be a PEAD effect; a negative value indicates that the individual stock return is lower than the benchmark return, and there may be a negative information shock. This factor reflects the market's unexpected reaction to earnings announcements and can be used to capture short-term investment opportunities.