Get Bespoke’s 2017 Outlook Report with a 30-day free trial to Bespoke’s premium research! Click here to learn more.
Corporate earnings have pretty much been at the back of investors’ minds since the Presidential election back on November 8th. But earnings will come into view again beginning next week when the banks kick off the fourth quarter earnings reporting period. At the start of each quarterly earnings season, we update our list of the “most volatile stocks on earnings.”
But before getting to the individual stocks, we wanted to take a look at earnings volatility at the sector level. Using our Interactive Earnings Report Database, which contains more than 135,000 individual stock earnings reports going back to 2001, we calculated the average one-day absolute percentage change that stocks in each sector have historically seen on their earnings reaction days. For a stock that reports in the morning, its earnings reaction day is that same trading day. For a stock that reports after the close, its earnings reaction day is the next trading day.
As shown below, the average one-day change on earnings for all stocks across all sectors going back to 2001 has been +/-5.55%. That means you can expect the average stock to move more than 5% in either direction when it reports earnings each quarter. But Tech stocks are much more volatile than Utilities stocks. The average Tech stock has historically moved +/-7.21% on its earnings reaction day, while the average Utilities stock only moves +/-2.23%. The next most volatile sector on earnings is Consumer Discretionary, followed by Telecom and then Health Care. The remaining sectors all see average one-day moves below the overall average for all stocks.
Now moving on to the most volatile individual stocks on their earnings reaction days, below is a list of the top 40. To make the list, the stock had to have at least 10 quarterly earnings reports in our database (2.5 years worth), and it had to be trading above $5/share. The stocks below all typically see an average one-day move of more than +/-11.75% on their earnings reaction days. As shown, Rubicon Project (RUBI) is the most volatile of any stock, moving +/-16.93% on its historical earnings reaction days. LendingTree (TREE) ranks second at +/-15.74%, followed by ChannelAdvisor (ECOM), Retailmenot (SALE), and MDC Partners (MDCA).
Some of the more notable stocks on the list include Netflix (NFLX), Travelzoo (TZOO), Tableau Software (DATA), Twitter (TWTR), First Solar (FSLR), and Pandora (P). Netflix (NFLX) typically sees a move of +/-14.05% on its earnings reaction days, so expect a big day either up or down when it reacts to its evening earnings report on January 18th.