Read how far each stock moved on the first session after each of its past earnings reports, and how long its volatility took to settle
Answers how much a stock has moved on its past earnings reports. For each company it reads the time the SEC accepted each of its earnings 8-K filings (Item 2.02) and about two years of adjusted daily prices, places each report on the market's clock (accepted before the open, that day's session; at or after the close, the next session; during market hours, not read as a reaction), and measures the reaction: the close of the first session after the report against the close of the session before it. It states the company's most recent isolated reactions, as far back as the reader's plan reads and the price history allows, with their count, their median and mean absolute move, the largest move, and how many sessions after the reaction the average daily range variance of the latest five sessions took to return to its average over the 21 ordinary sessions before the report. It describes past reports only: it does not estimate the next report's move or its direction, and every sentence is written from the computed figures, with no model call.
Earnings reactions as a reference class: the measured history behind every "average earnings move" table, and the traps in reading one.
THE REACTION SESSION. A company's results reach the market at an instant, the time the SEC accepted its earnings 8-K. Accepted before the 9:30 open, that day's session is the first that can react; at or after the 4:00 close, the next one. A report released during market hours moves part of one session, so no single close-to-close move is its reaction, and it is left out rather than guessed. Placing a report one session late attributes an ordinary day's move, or a whole sector's, to the report. The SEC's filing date is not the instant: an 8-K accepted after 5:30 in the evening is dated the next business day.
THE ISOLATED MOVE. The reaction is the reaction session's close against the close of the session before the report: one session, not a window of several, so other news is kept out as far as daily prices allow. It is still a total move: a market-wide fall on the same day is part of it.
WHY THE MEDIAN. Earnings reactions are peaked near zero with heavy tails: most reports move a stock modestly and a few move it a great deal. The mean of eight reactions can be dragged by one large one; the median is not. Both are stated, with the largest move named, so the shape is visible rather than one number.
FEW OBSERVATIONS. Eight reports is two years. How many of a company's reports are read is set by how far back the reader's plan reads, where the price history holds them. Their median describes the reports read, not a fixed property of the company: a new product, a change in guidance practice or a different market can change how a stock reacts.
SETTLING. After a report a stock's daily range is often wider for a while. Counting the sessions until the average daily range variance of the latest five sessions is back at or below its average over the 21 ordinary sessions before the report gives a realized-price counterpart to the fall in implied volatility that options show after a report, measured from prices alone. The settled count is stated beside the median, because a median of the reactions that settled says nothing about those that had not.
WHAT IT IS NOT. Not an estimate of the next report's move and not a statement about direction: past reactions describe the past. How far back each plan reads, the five- and 21-session windows and the 21-session settling horizon are our own convention.
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