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Total Posts: 31
Joined: Aug 2018
Posted: 2019-12-31 22:31
Hello all,

In the new year I will be trying to create an automated system to read earnings reports that create buy/sell signals during off hours. After some research it looks as if there is an initial under-reaction to the announcement especially in the smaller names.

I am managing low 6 figures so this seems like a strategy that fits my scenario. I usually hold options through an earnings report so a strategy like this would help me with my overnight hedging.

Before I take a deep dive into this space, I would greatly appreciated any advice from the NP community. I am an avid R programmer which will most likely be my tool going forward for text analysis.

Some of the key features I will read from a report are: Reported EPS, Revenue and Full Year Guidance Revisions. However, different companies report different features. For example KSS might report Full Year Guidance in Revenue while HD might report Full Year Guidance in EPS.
After data is collected it would run through a multilevel model to give me a buy/sell signal.

This task has obviously been done before as liquid stocks move within the first few seconds of the announcement.

Thank you for all your help and have a very Happy New Year!

men lie, women lie, numbers don't


Total Posts: 3
Joined: Dec 2019
Posted: 2020-02-06 17:49
Check out Feng Li's paper "Annual Report Readability, Current Earnings, and Earnings Persistence."

It is a good starting point for the sort of thing you are endeavoring on.
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