Stats › Individual stocks › Earnings day moves

Four sessions a year carry 19% of a stock's variance

19% of annual variance

Share of the total annualised variance of individual equity returns occurring on earnings announcement dates in 2015, which were about 1.6% of trading days, four out of 252. Source: Dubinsky, Johannes, Kaeck and Seeger, Option Pricing of Earnings Announcement Risks, Review of Financial Studies volume 32 number 2, 2019.

A US company reports four times a year, on about 1.6% of trading sessions. More than 19% of a stock's annual return variance arrives on those four days. Volatility from the close to the next open runs more than three times normal.

over 19%Share of annual variance
about 1.6%Share of trading days
close to 6xVariance vs a normal day
8.22% vs 7.42%Implied against realised

Members only

The rest of this page is for members

Below this point there are 6 sections, 1 chart, 1 table and 9 named sources, roughly 1200 words of it. Every figure carries the source it came from and the date the data is from.

You can keep browsing every statistic in the library for free. The intro and the summary are always open.