Stats › Actions individuelles › Announcement premium
US stocks earn 61 basis points more in the month they are expected to report
Monthly return in basis points to a long-short portfolio of stocks expected to announce this month against those not expected to, 1972 to 2004. The low concentration group is not statistically significant. The high concentration group has a t statistic of about 6.
A company's expected earnings month is knowable from last year's calendar alone. Over 1972 to 2004, holding stocks in that month and shorting the rest earned 61 basis points a month, about 7% a year, with no earnings numbers needed at all.
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