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A Well-Worn Trading Strategy That Hasn’t Lost Its Edge

Tue June 6, 2017

Shifting the date of corporate earnings reports can forecast stock moves

By Ben Eisen and Chris Dieterich

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When a company moves up the date of its earnings release, the news it’s preparing to announce is often good for the stock price. When a firm pushes back its quarterly report, it typically bodes poorly for shares.

What’s remarkable is the strategy itself has continued to be profitable, even at a time where investment managers lament the crowding in popular trades, which can often render them obsolete.

“Here is a signal that is right in front of everybody’s face and still works,” said Barry Star, chief executive at corporate event data company Wall Street Horizon.

A strategy that involves going long companies that move up their earnings release dates and going short companies which push them back has notched a return of more than 13% annually during the period between 2006 and 2017, according to research by the quant software firm Deltix and Wall Street Horizon. Each trade is on for about 17 hours around the earnings release.