11. Historical Earnings Announcement Returns
Mark Twain famously said, “History doesn’t repeat itself, but it does rhyme.” Is this true when it comes to forecasting earnings announcement returns? This chapter analyzes two topics related to the usefulness of historical earnings announcement returns for options trading around earnings announcements. First, are historical earnings announcement returns useful for forecasting future earnings announcement returns? Second, can investors use historical earnings announcement returns to enhance long or short straddle returns?
Historical and Future Earnings Announcement Returns
Suppose you wanted to predict Google’s (NASDAQ: GOOG) Q4 2011 earnings announcement return (announced in the after hours of January ...
Get Option Strategies for Earnings Announcements: A Comprehensive, Empirical Analysis now with the O’Reilly learning platform.
O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.
