Pead Price Trend Confirmation
In plain terms
PEAD drift is stronger when the post-announcement price move aligns with the earnings surprise direction.
How it works
Post-earnings-announcement drift is stronger and more persistent when the price reaction in the first 1-5 days after the announcement confirms the surprise direction. Price trend confirmation filters out noise from the raw surprise and selects the sub-sample where the market is genuinely underreacting.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Earnings history
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- ~2% per quarter (confirmed subsample)
- Tested over
- 1974-1986 (Bernard-Thomas)
PEAD confirmed by price trend delivers roughly 2x the raw PEAD return with fewer reversals.
Related families
When both analyst estimate revisions and price momentum point the same direction, the combined drift is more reliable than either signal alone.
Stocks where earnings surprises are accelerating quarter-over-quarter while price is trending up show compounding drift.
Explore Pead Price Trend Confirmation on alphactor.ai
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