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Stock Return Reversals Triggered by Earnings Announcements [PREMIUM]

Can traders exploit a tendency of some investors to over-anticipate good or bad news just before firm earnings announcements? In their 2016 paper entitled “Fear and Greed: a Returns-Based Trading Strategy around Earnings Announcements”, flagged by a subscriber, Ivo Jansen and Andrei Nikiforov investigate post-release reversal of extreme abnormal returns during the week before an earnings announcement.
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