Who is trading the Post-earnings announcement drift or PEAD and what is your experience with it ? Here are some studies for your info. Post-Earnings-Announcement Drift in the UK https://papers.ssrn.com/sol3/papers.cfm?abstract_id=249959 Momentum and Post-Earnings-Announcement Drift Anomalies: The Role of Liquidity Risk https://papers.ssrn.com/sol3/papers.cfm?abstract_id=428160 Volume, Opinion Divergence and Returns: A Study of Post-Earnings Announcement Drift https://papers.ssrn.com/sol3/papers.cfm?abstract_id=280913 Earnings and Price Momentum https://papers.ssrn.com/sol3/papers.cfm?abstract_id=342581&rec=1&srcabs=1087391 Underreaction or Overreaction: The Post Earnings Announcement Drift https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2420799 50 Years in PEAD Research https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3281679 Abstract for 50 Years in PEAD Research Analysing earning’s predictive power on stock returns was in the heart of academic research since late 60’s. First introduced to academic world in 1967 during seminar “Analysis of Security Prices” by Chicago University Professors Ray Ball and Philip Brown. In the next four decades was extensively analysed by many academics and is now a well-documented anomaly and is referred to as Post Earnings Announcement Drift (PEAD). This phenomenon is still at the centre of academic research because it stands at odds with efficient market hypothesis which assumes that all information is instantaneously reflected in stock prices. Professional investors are also closely looking at PEAD as it implies that it is easy to beat the market average by simply ranking stocks based on their earnings surprise and investing in the top decile, quintile or quartile and shorting the bottom part. Academic evidence shows that this strategy produces an abnormal return of somewhere between 2.6% and 9.37% per quarter, according to various authors. --- That much Alpha here ?