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PEAD.txt: Post-Earnings-Announcement Drift Using Text

Post-earnings announcement drift (PEAD) is one of the best known anomalies in Finance: Buy stocks with positive earnings surprises and sell stocks with negative earnings surprises, and you will keep making money on the drift. We show that you can generate a much larger drift (PEAD.txt) without even using the earnings number, but using the text of earnings call instead. There is much more to earnings calls than earnings number.