Trading Around the Earnings Calendar

Corporate executives and investor relations teams often use strategic timing to schedule and disseminate earnings results. Studies have shown that earnings delays may signal weak performance, while advancing the date may be a sign of good news. In this paper, we study the insights contained in the date changes of earnings releases, tracked using the RavenPack Earnings Dates dataset. (1) We show that advances/delays in earnings announcement dates can be predictive of positive/negative earnings results. (2) We also show that changes in earnings announcement dates are followed by outsized price reactions, with the resulting strategy achieving robust returns with a slow decay. (3) A combined strategy of earnings announcement events and earnings calendar change events delivers Annualized Returns of 7.9% for US Mid/Large-Caps and 20.7% for Small-Caps, with Information Ratios of 0.8 and 1.4, respectively. (4) Including news sentiment as an overlay, we were able to further enhance strategy performance, bringing Annualized Returns to 8.4% for Mid/Large and 24.6% for Small-Caps