Earnings announcement return
✓ aliveAnnouncementReturnOther· Price data
Get announcement date for quarterly earnings from IBES (fpi = 6). AnnouncementReturn is the sum of (ret - mktrf + rf) from one day before an earnings announcement to 2 days after the announcement.
IS Sharpe (1971–1995)
3.033
+13.8% p.a.
OOS Sharpe (1996–2024)
1.388
+9.7% p.a.
Sharpe decay
+54.2%
(IS − OOS) / |IS|
IS vol
4.6%
annualized
Cumulative return (last 40 years, monthly)
+9125%1984-012024-12
Publication details
AuthorsChan, Jegadeesh and Lakonishok
PaperChan, Jegadeesh and Lakonishok (1996)
JournalJournal of Finance
Publication year1996
Original sample1977–1992
IS T-statistic9.25
More Other anomalies
Put volatility minus call volatility+1.70Change in put vol minus change in call vol+1.27Earnings surprise streak+1.25Patents to RD expenses-1.02Call minus Put Vol+0.82Change in Taxes+0.78
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