AnnouncementReturn · Earnings event · Chan, Jegadeesh and Lakonishok (1996)

Earnings announcement return

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1971Q4 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

1.25%

95% interval 0.46% to 1.97%

Next year

1.28%

95% interval 0.49% to 1.98%

Next five years

1.36%

95% interval 0.56% to 2.02%

Next quarter

1.32%

95% interval 0.76% to 1.94%

Next year

1.44%

95% interval 0.83% to 2.08%

Next five years

1.80%

95% interval 1.02% to 2.50%

Next quarter

3.13%

95% interval 2.43% to 3.80%

Next year

3.09%

95% interval 2.32% to 3.80%

Next five years

2.95%

95% interval 1.86% to 3.85%

Next quarter

1.35%

95% interval 0.80% to 2.17%

Next year

1.53%

95% interval 0.91% to 2.32%

Next five years

2.05%

95% interval 1.27% to 2.85%

Cumulative market-adjusted return

+2,902% since 1971Q4 · log scale

Window	Mean	Vol.	Sharpe	t
1971Q4–2024Q4	6.81%	8.61%	0.79	5.77
2020Q1–2024Q4	3.99%	13.52%	0.29	0.66
2024Q1–2024Q4	8.08%	27.28%	0.30	0.30
1971Q4–2024Q4	12.18%	6.16%	1.98	14.44
2020Q1–2024Q4	3.73%	8.94%	0.42	0.93
2024Q1–2024Q4	−2.95%	9.44%	−0.31	−0.31
1971Q4–2024Q4	14.19%	11.61%	1.22	8.92
2020Q1–2024Q4	13.90%	14.06%	0.99	2.21
2024Q1–2024Q4	27.76%	18.36%	1.51	1.51
1971Q4–2024Q4	15.82%	8.34%	1.90	13.83
2020Q1–2024Q4	3.08%	11.79%	0.26	0.58
2024Q1–2024Q4	−4.55%	14.35%	−0.32	−0.32

Horizon	Mean	95% interval
Next quarter	0.291	0.108 – 0.459
Next year	0.297	0.115 – 0.461
Next five years	0.316	0.129 – 0.469
Next quarter	0.437	0.255 – 0.630
Next year	0.475	0.275 – 0.675
Next five years	0.587	0.327 – 0.806
Next quarter	0.541	0.418 – 0.662
Next year	0.532	0.400 – 0.661
Next five years	0.507	0.319 – 0.664
Next quarter	0.330	0.196 – 0.525
Next year	0.371	0.224 – 0.560
Next five years	0.490	0.301 – 0.684