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Post Earnings Layoff Timing

Updated eventData needs: mediumlong onlyshort only
paper
1989
Source
Hallock 1998 ILR + Bernard, V. L., & Thomas, J. K. (1989). "Post-earnings-announcement drift." Journal of Accounting Research 27 Suppl.
Read the paper →

In plain terms

Miss earnings + announce layoff within two weeks = short for a month, then long for 2-3 months on the cost-cut rebound.

How it works

Two-stage drift: a miss (surprise_pct<0) followed by a layoff within 14d signals confirmed demand stress. Bernard-Thomas drift continues the underperformance 30d; post-cost-cut margin rebound mean-reverts long 60-90d later.

No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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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.

  • Layoffs fyi events

    Public layoffs.fyi layoff announcements with company-to-ticker resolution.

Expected edge

Reported return
75-250 bps
Tested over
T+1 to T+120d

75-250 bps net of round-trip costs.

Example tickers where this is likely to fire

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

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For informational and educational purposes only. Not financial advice. Learn more