Eventtier 2pilotNew

`strategic friday pead`

cadence: Quarterlydata: mediumshort onlylong only

2015

deHaan, Shevlin & Thornock 2015, J. Acc. Econ.

Mechanism

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.

Signal rule

PEAD short leg amplified when earnings scheduled Friday post-close AND FinBERT sentiment < -0.2

Data dependencies

earnings_calendar (time-of-day)
Worker data table — see services/worker schema.
transcript_finbert
Worker data table — see services/worker schema.

Expected edge

Modifier ~0.4 Sharpe boost on PEAD short side

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

Example tickers where this is likely to fire

TWLO ZM DOCU

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

Related families

peadEvent

Buy after earnings surprise > 1σ, hold 30-60 days. Surprise = (actual − consensus) /

calendar anomaliesMacro

Three robust calendar effects from academic

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strategic friday pead