Company Events & EarningsCore researchlive in production

Earnings-Announcement Premium

Updated dailyData needs: mediumlong only

In plain terms

Stocks earn an abnormal positive return in the 2 days before through 1 day after their scheduled earnings — uncertainty resolution premium.

How it works

Stocks earn an abnormally positive return in the days surrounding scheduled earnings announcements (T−2 to T+1). The original 2007 paper documented ~9bp/day average premium during the window vs the non-announcement baseline; later replications show the effect has compressed to ~5-6bp/day but is still robust. The mechanism is asymmetric resolution of uncertainty plus retail inattention immediately around announcement. Signal: long the (T−2 to T+1) window per announcement, flat otherwise.

Live results

38 times picked on its own · 86 times inside a blend (57 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 86 such blended picks (57 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Earnings history
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: ~9bp/day, faded to 5-6 bp/day in OOS
Tested over: 1972-1986 (Beaver), updated through 2015

See the source research for the original effect size; a modern replication on new data may be weaker.

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