Lyle, Matthew R.; Yohn, Teri Lombardi - 2022
-variance optimized and rebalanced daily to assess gains from incorporating signals based on post-earnings announcement drift (PEAD), the … earnings announcement premium (EAP), and firms’ rescheduling of the earnings announcement (RES). We find that portfolios that …. We also find that the gains are concentrated to only a few days surrounding the earnings announcement. This study …