Replicate Post-Earnings Announcement Drift (PEAD)
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Aug 6, 2022 - Stata
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pead
Here are 7 public repositories matching this topic...
Systematic equity research and trading stack: post-earnings drift (PEAD) signals, backtesting, risk gates, circuit breakers and a paper-trading bot, run under pre-registered research protocols.
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Oct 7, 2026 - HTML
Event study of post-earnings announcement drift on US equities: surprise measurement, abnormal return windows, corrected inference, and a costed backtest.
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Sep 19, 2026 - Python
This repository explores whether earnings surprises predict stock returns in US markets (2000–2023). It uses an event study approach and tests for abnormal returns under different asset pricing models. It also runs regressions to see if earnings surprises predict returns beyond firm-specific factors.
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Oct 13, 2025 - Jupyter Notebook
Minimal PEAD (post-earnings announcement drift) backtest using Wharton Research Data Services (IBES + CRSP) — Python pipeline for research & plots.
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Sep 4, 2025 - Python
🏆 1st Place — 2026 UMN FMA Quant Trading Competition. Event-driven PEAD equity trading bot. Live-traded on Alpaca with 0.00% max drawdown.
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Sep 3, 2026 - Jupyter Notebook
코스피·코스닥 알파 심사 프레임워크 — 개별 트레이드 분포로 판정하고 랜덤 음성대조·purged CV·Deflated Sharpe 를 CI 가드레일로 강제. 기각 판정문까지 공개한다 · Alpha validation framework for KOSPI/KOSDAQ
python pandas quant quantitative-finance backtesting point-in-time overfitting research-reproducibility negative-results kospi kosdaq alpha-research walk-forward pead korean-stock survivorship-bias korea-finance backtest-overfitting deflated-sharpe purged-cross-validation
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Oct 8, 2026 - Python
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