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

GET

/api/v1/equities/{symbol}/earnings/pead

Last modified:2026-07-19 17:02:27

Maintainer:Not configured

OperationId:equities_symbol_earnings_pead

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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curl --location 'https://sugra.ai/api/v1/equities//earnings/pead?lookback=undefined&market_proxy=undefined&drift_window_end=undefined&include_daily_ar=undefined' \
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Modified at 2026-07-19 17:02:27

Cross-sectional PEAD leaderboard of recent BEAT/MISS earnings announcers

Two-stage DCF intrinsic value + sensitivity