Post-earnings-announcement drift (PEAD) conditioned on EPS surprise

Post-earnings-announcement drift (PEAD) around the company's quarterly earnings announcements, conditioned on the EPS surprise. Announcement dates come from SEC 8-K item 2.02 filings; the surprise (BEAT/MISS/MEET) is joined by DATE from the fiscal earnings history (best-effort). Per event: OLS market-model fit on the estimation window [-250, -11] vs market_proxy (default SPY), daily abnormal returns over [0, +60], an immediate reaction CAR over [0, +1], and post-reaction drift CARs over [+2,+5], [+2,+20], [+2,+60] (filtered to those ending at or before drift_window_end). Events are bucketed by surprise (BEAT/MISS/MEET/UNKNOWN) and a BEAT-minus-MISS drift spread is reported. A drift window that runs past the next announcement's day-0 is flagged (overlaps_next_event) and excluded from the bucket aggregate, but still reported per event. Single-ticker PEAD over a handful of events is DESCRIPTIVE, not a significance test of a market-wide anomaly: per-bucket statistics are flagged exploratory and a small_sample_warning is set below 10 valid events. When the surprise source is unavailable the endpoint degrades to unconditional drift (conditioning_status=unavailable) rather than failing. Daily only (interval=1d).

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Example

{
    "data": {
        "symbol": "AAPL",
        "market_proxy": "SPY",
        "interval": "1d",
        "estimation_window": [
            -250,
            -11
        ],
        "min_estimation_days": 200,
        "reaction_window": [
            0,
            1
        ],
        "drift_windows": [
            [
                2,
                5
            ],
            [
                2,
                20
            ],
            [
                2,
                60
            ]
        ],
        "event_window": [
            0,
            60
        ],
        "include_daily_ar": false,
        "conditioning_status": "available",
        "coverage": {
            "matched": 6,
            "n_beat": 4,
            "n_meet": 0,
            "n_miss": 2,
            "n_unknown": 0,
            "sec_events": 8,
            "unknown": 2,
            "unknown_by_reason": {
                "no_surprise_in_window": 2
            },
            "valid_events": 6
        },
        "events": [
            {
                "announcement_date": "string",
                "event_day0_date": "string",
                "period": "string",
                "year": 0,
                "quarter": 0,
                "filing_window": "string",
                "event_timing_assumed": true,
                "surprise_label": "string",
                "surprise_pct": 0,
                "surprise_period": "string",
                "surprise_lag_days": 0,
                "surprise_match_status": "string",
                "unknown_reason": "string",
                "bucket": "string",
                "market_model": {
                    "alpha": 0.0003,
                    "beta": 1.12,
                    "r_squared": 0.61,
                    "n_obs": 240,
                    "model_degenerate": false
                },
                "reaction_car": {
                    "property1": 0,
                    "property2": 0
                },
                "drift_car": {
                    "property1": 0,
                    "property2": 0
                },
                "overlaps_next_event": {
                    "property1": true,
                    "property2": true
                },
                "daily_ar": [
                    0
                ],
                "skip_reason": "string"
            }
        ],
        "by_bucket": {
            "property1": {
                "bucket": "BEAT",
                "n_events": 4,
                "inference_unreliable": true,
                "windows": {
                    "property1": {
                        "window": [
                            2,
                            20
                        ],
                        "n": 4,
                        "mean_car": 0,
                        "std_car": 0,
                        "t_stat": 0,
                        "p_value": 0,
                        "p_value_method": "student_t",
                        "ci_low": 0,
                        "ci_high": 0,
                        "exploratory": true
                    },
                    "property2": {
                        "window": [
                            2,
                            20
                        ],
                        "n": 4,
                        "mean_car": 0,
                        "std_car": 0,
                        "t_stat": 0,
                        "p_value": 0,
                        "p_value_method": "student_t",
                        "ci_low": 0,
                        "ci_high": 0,
                        "exploratory": true
                    }
                }
            },
            "property2": {
                "bucket": "BEAT",
                "n_events": 4,
                "inference_unreliable": true,
                "windows": {
                    "property1": {
                        "window": [
                            2,
                            20
                        ],
                        "n": 4,
                        "mean_car": 0,
                        "std_car": 0,
                        "t_stat": 0,
                        "p_value": 0,
                        "p_value_method": "student_t",
                        "ci_low": 0,
                        "ci_high": 0,
                        "exploratory": true
                    },
                    "property2": {
                        "window": [
                            2,
                            20
                        ],
                        "n": 4,
                        "mean_car": 0,
                        "std_car": 0,
                        "t_stat": 0,
                        "p_value": 0,
                        "p_value_method": "student_t",
                        "ci_low": 0,
                        "ci_high": 0,
                        "exploratory": true
                    }
                }
            }
        },
        "pead_spread": [
            {
                "drift_window": "2_60",
                "beat_mean_car": 0,
                "miss_mean_car": 0,
                "spread": 0,
                "n_beat": 3,
                "n_miss": 2,
                "n_unknown": 1
            }
        ],
        "small_sample_warning": true,
        "descriptive_note": "string",
        "point_in_time_note": "string",
        "source": "sugra_finance"
    },
    "meta": {
        "endpoint": "/api/v1/fred/us/cpi",
        "data_time": "2026-04-16T14:30:00Z",
        "response_time": "2026-04-16T14:30:12Z",
        "provider": "Sugra API v1.0.1",
        "data_age_days": 0,
        "source": "string",
        "attribution": "string",
        "fallback_used": true,
        "fallback_chain": [
            "string"
        ],
        "cached": true,
        "stale": true,
        "period": "string",
        "notes": "string"
    }
}

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