Independent Academic Research

An Automated Trading Strategy Using Earnings Date Revisions from Wall Street Horizon

Published by the Deltix Quant Team
Updated June 1, 2017

In this updated study, the Deltix Quant Team looked at whether earnings announcement date revisions can be used for predicting future prices in a manner that could be profitably traded upon. The paper details a strategy that involves going long companies that move up their earnings release dates and going short companies which push them back.  The portfolio has notched a return of more than 13% annually during the period between 2006 and 2017.

Deltix blog detailing the research methodology and results

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