sandbox/man-roxygen/factor-pead.R

In JustinMShea/ExpectedReturns: Reproduction of Investment Strategies presented in Antti Ilmanen's Expected Returns and Investing Amid Low Expected Returns

#' @section PEAD factor:
#'
#' The *post-earnings announcement drift* (PEAD) factor is based on \eqn{2x3} sort
#' on size and earning-announcement returns, with value-weighted portfolios.
#'
#' The "earning surprise" is the 4-day cumulative abnormal return around the most
#' recent quarterly earnings announcement date (CAR).
#'
#' Thus, the monthly PEAD factor return is the arithmetic average return of the
#' "high earnings surprise portfolios" minus the arithmetic average return of the
#' "low earnings surprise portfolios".