Bespoke has some of the most comprehensive earnings season analysis you’ll find. One of the main products included with our Bespoke Institutional service is our Interactive Earnings Report Database. This database contains more than 128,000 quarterly earnings reports from individual companies going back to 2001. At right we show what percentage of these individual companies have beaten or missed both EPS and revenue estimates (consensus analyst estimates) since 2001. As shown, 61% of earnings reports have been EPS “beats,” while 59% have been revenue “beats.” Just 7% of all quarterly earnings reports have seen the company raise forward guidance.
In terms of share price reaction, the average stock that reports earnings sees an initial gap up of 0.11% on its first trading day following earnings. It then sees an average decline of 0.02% from the open to the close of trading for a full one-day change of +0.09% on its “earnings reaction day.” (For a stock that reports before the open, its earnings reaction day is that trading day. For a stock that reports after the close, its earnings reaction day is the next trading day.)
Finally, in terms of earnings reaction day volatility, the average stock that has reported since 2001 has seen an average absolute 1-day change of +/-5.54%. This means you can expect any given stock to see a move of +/-5.54% on its first trading day following its quarterly earnings report.
Obviously, some stocks are more volatile than others. Each quarter prior to the start of earnings season, we publish our list of the 40 most volatile stocks on earnings. The stocks that made our list below trade for more than $5/share and have at least 10 quarterly earnings reports in our Interactive Earnings Report Database. As shown, Rubicon Project (RUBI) tops the list with an average move of +/-17.83%! You can expect RUBI to see a one-day move of close to 1/5th of the company’s value when it opens for trading following its report on May 2nd. ChannelAdvisor (ECOM) ranks 2nd with an average move of +/-16.20%, while RetailMeNot (SALE) ranks 3rd at +/-15.46%. Yelp (YELP) and LendingTree (TREE) round out the top five at +/-15%+.
Other notables on the list of most volatile stocks on earnings include Netflix (NFLX), Tableau Software (DATA), Travelzoo (TZOO), WayFair (W), Twitter (TWTR), First Solar (FSLR), and FireEye (FEYE). For each stock on the list, we’ve also included its year-to-date % change and its short interest as a percentage of float (SIPF). You’ll notice that while some stocks are up nicely in 2017, there are plenty that are down quite significantly to start the year as well. Stocks that are down big that also have high levels of short interest are set up to see big upside moves if they can post even remotely positive numbers. Conversely, stocks that are up significantly with low short interest levels could see big downside moves if they don’t knock the cover off the ball.
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