Earnings season begins next Tuesday when Alcoa (NYSE:AA) kicks it off with its report after the close.
From the Bespoke Earnings Report Database, we calculated the average absolute price change (%) for each stock on its historical quarterly earnings report days to see which ones typically have the biggest reactions. (For stocks that report after the close, we use the next day's price change.) So if a stock is up 10% on one earnings report day and is down 20% on another earnings report day, the average absolute change on these two report days is 15% (=(ABS(10)+ABS(-20))/2).
ISRG, up 143% year to date, reacts the most on its earnings report days of all the stocks in our database. We limited this list to stocks over $10 with at least 12 earnings reports on file. BCSI, AVCI, TZOO and PCLN are not too far behind ISRG as far as volatility goes. We also include the percent of the report days where the stock has closed up on the day. So while both are volatile, ISRG has gone up 69% of the time after reporting earnings, while BCSI has gone up just 38% of the time.