JANEWAY
Just A Neutral Engine With Autonomous Yield
- Status
- active
- Version
- v1
- Trades
- 0
Buys companies that just beat earnings expectations
When a company reports earnings well above Wall Street's forecast, investors tend to under-react: the stock drifts upward for 30–60 days as analysts slowly revise their models. This is called the Post-Earnings Announcement Drift and has been documented since 1968. This signal catches that drift after strong earnings beats.
Kill Criteria
Mechanism (Technical)
PEAD is one of the most persistently documented anomalies in equity markets (Ball & Brown 1968; Bernard & Thomas 1989, 1990). The behavioral explanation is that analysts and investors under-react to earnings surprises and revise slowly. Despite being known for 50+ years, the anomaly has not fully arbitraged away — it persists especially in smaller caps and in stocks with high analyst-forecast dispersion pre-earnings. Our restriction to dual beats (EPS AND revenue) filters out 'managed' beats from revenue misses, which decay faster.
Sizing
Recent Trades
No trades logged yet.
Lifecycle Events
- 2026-04-23 19:08:47 UTCRESUMEDtransition: proposed→active
- 2026-04-23 19:08:46 UTCFIREDtransition: none→proposedcontract_path: /Users/joshuagafni/Documents/Janeway/Repositories.nosync/janeway/signals/pead.yamlcontract_version: 1
References
- Ball & Brown (1968) — 'An Empirical Evaluation of Accounting Income Numbers'
- Bernard & Thomas (1989, 1990) — PEAD foundational papers
- Chordia & Shivakumar (2006) — PEAD persistence
- Hirshleifer, Lim, Teoh (2009) — 'Driven to Distraction'