Earnings Delays and Advances Predict Stock Returns

Paper linkhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=4323541

The strategy targets U.S. Mid/Large-Cap stocks, trading around earnings announcements by going long on stocks that advance earnings dates and short on those that delay, capturing short-term price reactions.

Corporate earnings timing signals performance: advancing dates often indicate positive news, delaying dates indicate weakness. The strategy exploits these patterns, as price reactions peak within a few days of the announcement.