HI all, Here's a modest price change study around earnings announcements. I'd been wanting to do this for a while and there have been some discussions on this board about what to do with a company that drops in a big way on earnings, so I figure some other folks may have interest.
Keep in mind, this is just for a small handful of stocks (listed in first pic) that I held or maybe few I had interest in. And it's only around 40 stocks reporting dates from 4-22 to 5-3 so far. It shows price behavior in 15 days leading up to day 0, the earnings date, and shows the subsequent 20 trading days price behavior. Keep in mind these results may be highly specific to the kind of stocks I hold and factors I use.
The first pic is price behavior (median and average price change) leading up to earnings date for the 41 stocks listed. Some are large caps, some are small.
The second image shows price changes for stocks with 5% or more price moves either up or down. Based on what I'm seeing from this small sample: for big drops on earnings of 5% or more, it suggests maybe holding for about 10 days to recover about 4pp of the initial day 1 drop, but may be hard to tell because overall market rose some during this time also. Maybe these stocks are just floating with the market after the big drop, but I think maybe waiting a bit might have some merit unless you have something to immediately deploy to. Also interesting for positive day 1 movers, during this timeframe, day 1 pops of 5% or more seemed to mostly hold going forward in aggregate. Medians and averages shown.
I have not attempted to remove market movement from this (not normalized), and it seems overall the market trend was somewhat positive, so some upward drift is likely due to overall mkt through reporting period and into May.
This final image is just an aggregation median and average movements of the day 1 decliners and the day 1 advancers (including both 5+% movers and 0-5% movers)
Anyhow, wanted to drop this here. All the best,
