Most, Least Volatile Stocks on Earnings

When investors are looking for dynamic analysis of earnings reports and subsequent stock price reactions, they know to come to Bespoke. Through Think B.I.G., Bespoke Premium, and our industry renowned Bespoke Interactive Earnings Report Database, we prepare investors for earnings season with a number of actionable research reports and investment tools. With fourth quarter earnings season beginning tomorrow as Alcoa (AA) reports after the close, now is the time to get prepared.

Many traders like to play the most volatile stocks on earnings, regardless of the direction the stock moves. From our Earnings Report Database, we found the stocks that have the highest average absolute 1-day percentage change on the first trading day following earnings reports. (For stocks reporting in the evening, we use the next day's price move. For stocks reporting in the morning, we use that day's price move.) So if a stock goes down 20% after one earnings report and goes up 10% on another earnings report, its average absolute 1-day % change on earnings is 15%. We filtered the list to stocks that have at least 12 quarters (3 years) worth of earnings reports to eliminate companies that have not been around that long.

As shown, BCSI, ISRG and MFLX show the most volatility following earnings reports. Each of them have an average absolute 1-day percent change of more than 17%! Other notable names on the list of volatile stocks are PCLN, TZOO, NFLX, SNDK and AMZN.

For investors that don't want any earnings volatility, below we highlight companies with the smallest average absolute 1-day % change on earnings. For these companies, earnings reports have very little impact on the price action of the stock.