There’s Alpha in Corporate Event Timing
Tue September 2, 2014
Scheduling corporate events such as earnings release dates can point to significant, untapped sources of alpha, as firm-initiated revisions to expected earnings announcement dates are strong predictors of firms’ upcoming earnings news and future returns.
Another finding was that this alpha does not disappear in microseconds. These signals can be observed and acted upon by traders in the minutes, hours, days and weeks before and after a corporate event.