Given how poorly the market has performed during the earnings off-season over the last six weeks or so, most investors are probably looking forward to earnings season offering a change of pace at the start of October.

Regular readers of Bespoke’s work know that we provide some of the best and most unique earnings analysis on the street.  To receive our actionable earnings analysis, you’ll need to sign up for our Bespoke Premium or Bespoke Institutional offerings, but we do from time to time post earnings-related content for free here on Think B.I.G. as well.  One of the posts that gets the most attention each quarter is our list of most volatile stocks on earnings.

From our Interactive Earnings Report Database (available only at the Bespoke Institutional membership level), we have every single quarterly earnings report for every U.S. stock going back to 2001.  Using this data, we’re able to find the stocks that have historically averaged the biggest moves on their ‘earnings reaction days’.  For stocks that report earnings after the market closes, its “earnings reaction day” is the very next trading day.  For stocks that report earnings before the market opens, the “earnings reaction day” is that same trading day.

Using our Earnings Report Database, which contains over 120,000 individual earnings reports, below is this quarter’s updated list of the most volatile stocks on earnings.  To make the list, the stock has to trade over $5/share, and it has to have at least 10 quarters worth of earnings reports as a publicly traded company.

The list below contains stocks that have historically averaged moves up or down of more than 11.2% on their earnings reaction days!  That means that once per quarter, they’re pretty much guaranteed to gain or lose at least a tenth of their value on the day they report earnings.

Yelp (YELP) is currently at the very top of the list with an average change of +/-16.32% on earnings.  Silver Springs Networks (SSNI) ranks second at +/-15.63%, followed by Broadsoft (BSFT) and then Netflix (NFLX).  Netflix averages a move of +/-14.36% on its earnings reaction days, so expect a big swing on 10/15 when it opens for trading.  Some other notables on the list include Keurig Green Mountain (GMCR), Vasco Data (VDSI), First Solar (FSLR), Pandora (P), Priceline (PCLN), and iRobot (IRBT).


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