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Price Volatility

Apr 23 2021

Earnings Are Back In Focus

  • Apr 23, 2021

Earnings releases (ER) are normally accompanied by large stock-price movements, either to the upside or downside.

Here, we computed the percentage of companies that registered a large move in their stock price on their ER day in the trailing three-month window (500 basis points up OR down). In order to normalize for non ER-day volatility, we computed the percentage of all companies that registered a significant price move on any day during the same period. The difference between the two is shown in Chart 1.

 

Sep 05 2020

Earnings’ Lost Relevance

  • Sep 5, 2020

One characteristic of recent stock market action is extreme correlation. Chart 1 shows that during the sharp market decline following the COVID-19 arrival in the U.S. and the V-shaped upturn thereafter, the average correlation of S&P 500 constituents moved to near its highest level measured back to 1986.