Company Events & EarningsExtended setInvalidNew

Strategic Friday Pead

Updated quarterlyData needs: mediumshort onlylong only

2015

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

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.

Live results

0 times picked on its own · 1 times inside a blend (1 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 1 such blended picks (1 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

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

TWLO ZM DOCU

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

Related families

Post-Earnings DriftCompany Events & Earnings

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.

Calendar AnomaliesEconomy & Policy

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

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