I grouped the quarterly earnings surprises of the largest 10 US Tech stocks for the past 10 years into bins (negative earnings surprise<-5%, medium between -5% and 5% and large positive >5%). I further calculated the lagged returns and forward returns (1 day, 1 week, 1 month before and after the earnings announcement) for each stock and assigned them to each bin. Per bin I then calculated the average return across all stocks for each bin. This is what I found:
| Earnings surpise/Period | 1 month before announcement | 1 week before announcement | Day of announcement | One day after | One week after | One month after |
|---|---|---|---|---|---|---|
| <-5% | 0.8% | -1.4% | 0.1% | -2.1% | -2.3% | -1.2% |
| -5%-5% | 2.4% | 1.0% | 0.1% | -0.1% | 0.5% | 2.0% |
| >5% | 5.9% | 1.4% | 0.2% | 3.1% | 4.2% | 5.2% |
Thoughts?
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