This segment reveals the results of three related studies which seek to measure how the movement of the overall market affects the movement of a stock after an earnings announcement. Large moves are not uncommon after earnings announcements.
This segment analyzes the moves around earnings with respect to how the market moves on those days. The question to be answered is if stocks with earnings announcements are still driven by the direction of the market that day, regardless if they beat expected reports or not.
A study was conducted from 2002 to present using 531 underlyings with a total 23,212 earnings announcements. The study compared the move of the S&P 500 to the individual stocks after an earnings announcement. A table showed the results of when the stock and the S&P 500 moved in the same direction and when it moved in the opposite directions.
A second study isolated occurrences when the S&P 500 had a move up or down greater than 1%. The study had 7,179 occurrences using 522 stocks. A table showed the results with the percentages. A third study isolated occurrences to days where the S&P 500 had greater moves (up or down) than 2%. The study had 2,085 observations using 467 stocks. A table shows the results of when the earnings stocks and the S&P moved in the same direction.
Watch this segment of “Market Measures” with Tom Sosnoff and Tony Battista to see the results of the studies to see how the movement of the overall market impacts the movement of a stock after an earnings announcement and to hear the insights from Tom and Tony.
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