Strategic Friday Pead
In plain terms
Managers schedule bad-news earnings for Friday after-close to dodge attention. The 3-day return around those announcements is significantly negative.
How it works
Managers schedule bad-news earnings for Fridays after-close. Three-day abnormal returns around the scheduling announcement are significantly negative. PEAD persists up to 2 years for Friday-bad-news.
Data dependencies
- Earnings calendar (time-of-day)
A data feed this strategy reads, refreshed on its normal schedule.
- Transcript finbert
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported Sharpe
- ~0.4 Sharpe boost on PEAD short side
- Tested over
- 1986-2007 (DellaVigna-Pollet)
Modifier ~0.4 Sharpe boost on PEAD short side
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
After an earnings beat (vs analyst expectations), the price drifts up over the next 30-60 days — markets are slow to fully digest the surprise.
Three calendar quirks: turn-of-month (last/first days outperform), pre-FOMC drift, and day-of-week (Mon weak, Wed-Thu strong).
Explore Strategic Friday Pead on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.