Most Volatile Stocks on Earnings Report Days

lt's just about that time again.  Alcoa (AA) is set to kick off the first quarter earnings season next Monday after the close.  Here at Bespoke we offer multiple reports to help guide investors through quarterly reporting periods.  And most of our data on the subject comes from our Interactive Earnings Report Database, which is available to Bespoke Premium Plus members.  This database has every quarterly report for nearly every US stock over the last ten years.  Not only does the database have all of the earnings, revenue, and guidance information you could ask for, but it also shows how each stock has reacted to every one of its earnings reports.  This is very useful information for investors trying to identify trends in stock performance around earnings season for specific stocks.  We'll be highlighting more aspects of our earnings database over the next week or so, but if you're interested in learning more about it now, please call us at 914-315-1248.

The database also allows you to screen for various earnings-related characteristics.  One characteristic is how volatile a stock typically is around its earnings reports.  Many traders like to play the volatile stocks from both the long and short side during earnings season.  Below we highlight the S&P 500 and Russell 3,000 stocks that have historically moved the most on the first trading day following their earnings reports (for companies that report before the open, we use that day's change, and for companies that report after the close, we use the next day's change).

To calculate the earnings report day volatility, we simply take the average absolute one-day percentage change for stocks on their release days.  (As an example, if a stock moves up 20% on one day and down 10% on another day, its average absolute change on those two days is 15%.)  The average US stock moves about +/-5.50% on its earnings report day.

As shown, First Solar (FSLR) is the most volatile S&P 500 stock on its earnings report days, with an average change of +/-16.89%.  Intuitive Surgical (ISRG) is the second-most volatile at +/-15.74%, followed by priceline.com (PCLN) at +/-14.77%.  Other notables on the S&P 500 list include Amazon.com (AMZN), Mastercard (MA), Whole Foods (WFMI), and Yahoo! (YHOO).

The most volatile stock on earnings report days in the Russell 3,000 is Geokinetics (GOK) with an average one-day change of +/-17.83%. 

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Comments

[Mark]

How does First Solar (FSLR) get two different prices in the charts?