Lan, Qiujun; Mi, Xianhua; Xie, Yuxuan; Zhao, Xinwei - 2022
A simple strategy base on PEAD is provided, which only requires going long on dozens of stocks. It gets average 6.39% excess return per quarter in China’s stock market. Also found was that i) compared with earnings announcements, earnings preannouncements are prone to produce a more profitable...