What does this page show? Analyses price behaviour and volatility around quarterly earnings: pre-earnings drift (price run-up before the release), the earnings-day move, post-earnings drift and the vola crush (decline in price fluctuation after the announcement). Where available: Beat vs. Miss breakdown.

Data Availability: Currently supported: US stocks (4 quarters per run, growing daily to up to 16 within a year). Indices, futures, crypto and ETFs have no earnings. European and Asian equities will follow once we connect a suitable data source.

Earnings Effect

Price movement & volatility around quarterly results

Methodology

Data Source: Price data from the SeasonAlpha database. Earnings dates and EPS data from Yahoo Finance (historical quarterly results).

t0 = Earnings Day (date of the quarterly results release). After-market reports are typically reflected in the price of the next trading day — this effect is visible in the t0/t+1 move.

Normalization: All event windows are normalised to the t0 closing price. Positive values mean: price above the earnings close.

Beat / Miss: "Beat" = EPS actual > EPS estimate; "Miss" = EPS actual < EPS estimate. Only available when Yahoo Finance provides EPS data.

Vola Crush: Measured as the average absolute daily return (|Δ%|) per day in the window. The typical rise before earnings (driven by uncertainty) and the decline afterwards (vola crush once uncertainty is resolved) are a well-known pattern in options markets.

Realised vol before earnings = avg |daily return| in the t-before trading days. Realised vol after earnings = avg |daily return| in the t-after trading days (t0 excluded).