Surprise Price Reaction Confirmation
In plain terms
When the market's immediate price reaction to an earnings surprise is large and aligned, the subsequent drift is more reliable.
How it works
The magnitude of the immediate price reaction to an earnings surprise is predictive of subsequent drift. A large initial price move relative to the surprise size signals that the market is updating aggressively, selecting for tickers where the drift is likely to persist rather than reverse.
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
- Tested over
- 1989-1991 (Womack)
Price-reaction-confirmed surprises earn 3-5% more drift over 60 days than unconfirmed surprises.
Related families
PEAD drift is stronger when the post-announcement price move aligns with the earnings surprise direction.
When both analyst estimate revisions and price momentum point the same direction, the combined drift is more reliable than either signal alone.
Explore Surprise Price Reaction Confirmation on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.