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Earnings Announcement Drift Alpha Model: Pre- and Post-Announcement Return Decomposition for US Equities for Cross-Functional Rollout

Quantifies post-earnings announcement drift (PEAD) and pre-announcement drift patterns for S&P 1500 stocks, building a signal that times entry 5 days before earnings and exits 20 days after.

• Best with ChatGPT
• Quantitative Finance & Trading
• Quantitative Equity Research

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