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Tuesday
Apr082014

Most Volatile Stocks on Earnings

Each quarter just before earnings season, we provide a list of the stocks that have historically seen the biggest moves on their earnings report days.  

In our Interactive Earnings Report Database (available to Bespoke Institutional members), we have the price action around earnings for every company that has reported over the last 13 years.  This allows traders and investors to easily track how specific companies trade on earnings.  From our database, we created the chart below that shows the average one-day change on earnings by sector.  (For companies that report before the open, we use that day's change.  For companies that report after the close, we use the next day's change.)  As shown, the average one-day change on earnings for all stocks in our database is 5.41%, so in general, you can expect the average company to move +/-5.4% on the day of its earnings report.  Unsurprisingly, Technology stocks are the most volatile around earnings, with an average one-day change of +/-7.14%.  Consumer Discretionary stocks are the second-most volatile at +/-6.18%, followed by Health Care (which includes Biotech) at +/-5.77%.

If you're looking for stability, Utilities stocks move the least in reaction to their earnings reports, with an average one-day change of just +/-2.15%.  Financial stocks are the second least volatile at +/-3.61%.

Below is a list of the stocks that have historically seen the biggest moves on their earnings report days.  To be included in the list, a stock must have at least 12 quarters (3 years) worth of earnings reports.

As shown, BroadSoft (BSFT) is the most volatile stock in our database with an average change of +/-16.59% on earnings.  That means that each quarter, you can expect the stock to have a one-day change of more than 16% in either direction!  Fuel Systems Solutions (FSYS) is not far behind in second at +/-16.38%, while Intralinks Holdings (IL) ranks third at +/-15.07%.  

The most notable names on the list are probably Netflix (NFLX), First Solar (FSLR), Priceline Group (PCLN) and Intuitive Surgical (ISRG), but basically it's made up of a who's who of the stocks that traders look to for action.  

A lot of these stocks have gotten slaughtered leading up to their upcoming earnings report dates, so this quarter we are also including how far each stock on the list is from its 50-day moving average.  Companies that have moved into deep oversold territory will be fun to watch this season.  Given how much they have fallen, you would expect the ones that report much stronger than expected earnings to snap back pretty significantly.

For more in-depth earnings season analysis, head on over to Bespoke Premium and sign up for a 5-day free trial today.  Click here to see all of the earnings-related products that are included with the Premium service.

To access our Interactive Earnings Report Database, become a Bespoke Institutional member today.