Event#32tier 1live in production
earnings announcement premium
cadence: Dailydata: mediumlong only
Mechanism
Stocks earn an abnormally positive return in the days surrounding scheduled earnings announcements (T−2 to T+1). The original 2007 paper documented ~9bp/day average premium during the window vs the non-announcement baseline; later replications show the effect has compressed to ~5-6bp/day but is still
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
earnings_historyWorker data table — see services/worker schema.
Expected edge
See referenced paper for original effect size; modern out-of-sample replication may be weaker.
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
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