Our famous Earnings Screener is unmatched when it comes to historical earnings report data for publicly-listed US companies. The Earnings Screener allows users to easily search through historical quarterly earnings reports for every US stock going back to 2001. The bottom line is if you want to analyze “big data” related to earnings reports, our Earnings Screener is the tool to use.
Below we highlight a number of insightful statistics using the 143,000+ individual quarterly earnings reports that make up our Earnings Screener.
Our first chart simply shows the number of quarterly earnings reports in our database by sector. As shown, there are 30,742 individual quarterly reports for Technology sector stocks in the database, which is nearly 7,000 more than the next closest sector (Consumer Discretionary). Real Estate and Telecom have the fewest quarterly reports, mostly because Real Estate just became a sector last year while there are only a handful of publicly-traded Telecom companies left.
The second chart below shows the historical “beat rate” for earnings per share by sector going back to 2001. As shown, 61.5% of the 143,000+ quarterly reports since 2001 have seen EPS come in higher than consensus analyst expectations. Looking at individual sectors, Technology stands out once again. Since 2001, tech’s historical earnings beat rate has been 67.1%, which is nearly 5 percentage points higher than the next closest sectors. Consumer Discretionary, Industrials, and Health Care are the only other sectors with EPS beat rates that are higher than the overall beat rate of 61.5% for all stocks.
On the weaker end of the spectrum, Telecom has the lowest EPS beat rate at 49.8%, followed by Energy (54.4%), Utilities (56.0%), and Materials (56.9%).
The chart above showed historical bottom-line EPS beat rates by sector, and the chart below shows historical top-line revenue beat rates. As shown, the revenue beat rate (% of companies that report actual revenues that are stronger than consensus analyst estimates) for all stocks reporting earnings since 2001 has been 60.0%, which is 1.5 percentage points lower than the historical EPS beat rate.
Technology ranks at the top of the list again with a revenue beat rate of 68.4%. Real Estate, Financials, and Health Care are the other three sectors with revenue beat rates higher than 60%.
Utilities has the weakest revenue beat rate at just 46.6%, while Materials, Energy, Telecom, and Consumer Staples are all below 56%. While Consumer Discretionary and Industrials have stronger-than-average EPS beat rates, they have weaker-than-average revenue beat rates.
Below we offer a side-by-side comparison of EPS and revenue beat rates by sector since 2001:
In addition to looking at historical earnings and revenue beat rates by sector, we can also look at how stock prices have historically reacted to their earnings releases. Below we show the average one-day stock price reaction to earnings releases by sector. (For stocks that report in the morning before the open, we use that day’s price change. For stocks that report after the close, we use the next day’s price change.)
As shown, the average one-day stock price reaction for all 143,000 quarterly earnings reports since 2001 has been +0.08%. An average gain of 0.08% doesn’t seem like much but compounded over 143,000 reports, it adds up! Earnings ultimately drive the stock market.
Looking at individual sectors shows that, on average, Industrials stocks have gained the most on their earnings reaction days (+0.20%), followed by Consumer Discretionary (+0.17%), and Technology (+0.13%).
Two sectors have historically seen average share price declines on earnings reaction days — Energy and Utilities. Energy stocks have historically performed the worst in reaction to earnings with a one-day decline of -0.23%.
Our final chart today looks at stock price volatility in response to earnings reports. In this chart, we show the average absolute one-day price change for stocks in response to their earnings releases. Overall, the average absolute one-day change for all stocks since 2001 has been +/-5.55%. This means investors can basically assume that in a diversified portfolio of stocks, the average holding will have a one-day move up or down of 5.55% at least once per quarter.
While Technology stocks have the strongest earnings and revenue beat rates, they’re also the most volatile in reaction to their earnings reports. As shown below, the average Tech stocks moves +/-7.19% on its earnings reaction day. After Tech, Consumer Discretionary stocks are the second most volatile in response to earnings reports, followed by Health Care and Telecom.
As expected, the least volatile stocks in reaction to their earnings reports are Utilities and REITs. Utility stocks see an average absolute move of just +/-2.16% on their earnings reaction days!