PEAD — Post-Earnings Announcement Drift

What you're looking at. We parsed the 8-K or press release for reported EPS and paired it with the pre-release analyst consensus to produce a surprise %. SUE divides that surprise by the ticker's own history of prior surprises, so a 30% beat on a stable name scores higher than the same 30% on a volatile one.

How it has behaved. SUE above +1.5 has historically drifted up for up to 60 trading days after the announcement, and below -1.5 down. A setup is priced at the first session open after the release, or at the live price when the release lands during the session. The T+1 through T+60 columns on the Historical tab show where the move has tended to land for each ticker.

Where it has been weaker.

• Fewer than four prior quarters of usable earnings history (the row shows surprise only instead of a SUE): the call rests on the surprise % alone, not on the ticker's own volatility.
• Weeks dominated by FOMC, CPI or earnings-season crowding, when macro moves swamp single-name drift.

Further reading.

• Bernard & Thomas (1989) — the original paper. Introduced SUE and showed drift over 60 trading days.
• Chan, Jegadeesh & Lakonishok (1996) — replicated PEAD alongside price momentum. Effect is strongest in the top/bottom deciles.
• Livnat & Mendenhall (2006) — showed SUE using analyst-consensus (what we use here) produces a bigger drift than time-series surprise.
• Sadka (2006) — drift is partly compensation for liquidity risk, which is why it's stronger in smaller, less-liquid names.
• Chordia & Shivakumar (2006) — earnings momentum subsumes price momentum. If you can only trade one, trade SUE.