After a 10%+ earnings move, does it keep going?
When a stock beats or trails the market by 10%+ on earnings day, does the move continue over the next week or month?
The answer
Big jumps are a coin flip afterward. Big drops kept drifting lower over 20 days 54% of the time for small caps, barely better than a coin flip.
12,802 cases tested.
The numbers
| Setup | Kept going, next 5 days | Kept going, next 20 days |
|---|---|---|
| Micro caps, big jump1,560 cases | 49%avg +1.5% | 52%avg +3.6% |
| Micro caps, big drop1,626 cases | 55%avg +0.2% | 57%avg +0.8% |
| Small caps, big jump2,437 cases | 49%avg +0.3% | 48%avg +0.6% |
| Small caps, big drop2,480 cases | 53%avg −0.1% | 54%avg −0.1% |
| Mid caps, big jump1,556 cases | 50%avg −0.1% | 48%avg +0.2% |
| Mid caps, big drop1,573 cases | 53%avg −0.1% | 53%avg −0.2% |
| Large caps, big jump766 cases | 48%avg −0.1% | 51%avg +0.7% |
| Large caps, big drop804 cases | 54%avg +0.1% | 52%avg −0.2% |
What it means for a trader
There is no reliable follow-through after a big earnings day. The one lean (losers drifting a bit lower) is too small to trade once costs are counted.
How it was tested
Earnings reports since 2021 where the stock beat or trailed the Russell 2000 ETF (IWM) by 10%+ on earnings day. Followed from that day’s close, compared with IWM. “Kept going” means it continued in the same direction as the earnings-day move.
History, not predictions. Not investment advice.