2024-12-16 21:34:48 -05:00
<!doctype html> < html lang = en dir = ltr class = "blog-wrapper blog-post-page plugin-blog plugin-id-default" data-has-hydrated = false > < meta charset = UTF-8 > < meta name = generator content = "Docusaurus v3.6.1" > < title data-rh = true > Event studies and earnings releases | The Old Speice Guy< / title > < meta data-rh = true name = viewport content = "width=device-width,initial-scale=1.0" > < meta data-rh = true name = twitter:card content = summary_large_image > < meta data-rh = true property = og:url content = https://speice.io/2016/06/event-studies-and-earnings-releases > < meta data-rh = true property = og:locale content = en > < meta data-rh = true name = docusaurus_locale content = en > < meta data-rh = true name = docusaurus_tag content = default > < meta data-rh = true name = docsearch:language content = en > < meta data-rh = true name = docsearch:docusaurus_tag content = default > < meta data-rh = true property = og:title content = "Event studies and earnings releases | The Old Speice Guy" > < meta data-rh = true name = description content = "Or, being suspicious of market insiders." > < meta data-rh = true property = og:description content = "Or, being suspicious of market insiders." > < meta data-rh = true property = og:type content = article > < meta data-rh = true property = article:published_time content = 2016-06-08T12:00:00.000Z > < link data-rh = true rel = icon href = /img/favicon.ico > < link data-rh = true rel = canonical href = https://speice.io/2016/06/event-studies-and-earnings-releases > < link data-rh = true rel = alternate href = https://speice.io/2016/06/event-studies-and-earnings-releases hreflang = en > < link data-rh = true rel = alternate href = https://speice.io/2016/06/event-studies-and-earnings-releases hreflang = x-default > < script data-rh = true type = application/ld+json > { "@context" : "https://schema.org" , "@id" : "https://speice.io/2016/06/event-studies-and-earnings-releases" , "@type" : "BlogPosting" , "author" : { "@type" : "Person" , "name" : "Bradlee Speice" } , "dateModified" : "2024-11-06T03:32:56.000Z" , "datePublished" : "2016-06-08T12:00:00.000Z" , "description" : "Or, being suspicious of market insiders." , "headline" : "Event studies and earnings releases" , "isPartOf" : { "@id" : "https://speice.io/" , "@type" : "Blog" , "name" : "Blog" } , "keywords" : [ ] , "mainEntityOfPage" : "https://speice.io/2016/06/event-studies-and-earnings-releases" , "name" : "Event studies and earnings releases" , "url" : "https://speice.io/2016/06/event-studies-and-earnings-releases" } < / script > < link rel = alternate type = application/rss+xml href = /rss.xml title = "The Old Speice Guy RSS Feed" > < link rel = alternate type = application/atom+xml href = /atom.xml title = "The Old Speice Guy Atom Feed" > < link rel = stylesheet href = /katex/katex.min.css > < link rel = stylesheet href = /assets/css/styles.16c3428d.css > < script src = /assets/js/runtime~main.29a27dcf.js defer > < / script > < script src = /assets/js/main.d461af80.js defer > < / script > < body class = navigation-with-keyboard > < script > ! function ( ) { var t , e = function ( ) { try { return new URLSearchParams ( window . location . search ) . get ( "docusaurus-theme" ) } catch ( t ) { } } ( ) || function ( ) { try { return window . localStorage . getItem ( "theme" ) } catch ( t ) { } } ( ) ; t = null !== e ? e : "light" , document . documentElement . setAttribute ( "data-theme" , t ) } ( ) , function ( ) { try { for ( var [ t , e ] of new URLSearchParams ( window . location . search ) . entries ( ) ) if ( t . startsWith ( "docusaurus-data-" ) ) { var a = t . replace ( "docusaurus-data-" , "data-" ) ; document . documentElement . setAttribute ( a , e ) } } catch ( t ) { } } ( ) < / script > < div id = __docusaurus > < div role = region aria-label = "Skip to main content" > < a class = skipToContent_fXgn href = #__docusaurus_skipToContent_fallback > Skip to main content< / a > < / div > < nav aria-label = Main class = "navbar navbar--fixed-top" > < div class = navbar__inner > < div class = navbar__items > < button aria-label = "Toggle navigation bar" aria-expanded = false class = "navbar__toggle clean-btn" type = button > < svg width = 30 height = 30 viewBox = "0 0 30 30" aria-hidden = true > < path stroke = currentColor stroke-linecap = round stroke-miterlimit = 10 stroke-width = 2 d = "M4 7h22M4 15h22M4 23h22" / > < / svg > < / button > < a class = navbar__brand href = / > < div class = navbar__logo > < img src = /img/logo.svg alt = "Sierpinski Gasket" class = "themedComponent_mlkZ themedComponent--light_NVdE" > < img src = /img/logo-dark.svg alt = "Sierpinski Gasket" class = "themedComponent_mlkZ theme
2024-11-10 16:43:02 -05:00
< h2 class = "anchor anchorWithStickyNavbar_LWe7" id = the-market-just-knew > The Market Just Knew< a href = #the-market-just-knew class = hash-link aria-label = "Direct link to The Market Just Knew" title = "Direct link to The Market Just Knew" > < / a > < / h2 >
< p > I recently saw two examples of stock charts that have kept me thinking for a while. And now that the semester is complete, I finally have enough time to really look at them and give them the treatment they deserve. The first is good old Apple:< / p >
< details class = "details_lb9f alert alert--info details_b_Ee" data-collapsed = true > < summary > Code< / summary > < div > < div class = collapsibleContent_i85q > < div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > secrets < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > QUANDL_KEY< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > matplotlib< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > pyplot < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > as< / span > < span class = "token plain" > plt< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > matplotlib< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > dates < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > date2num< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > matplotlib< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > finance < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > candlestick_ohlc< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > matplotlib< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > dates < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > DateFormatter< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > WeekdayLocator< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > \< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > DayLocator< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > MONDAY< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > quandl< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > datetime < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > datetime< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > pandas < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > as< / span > < span class = "token plain" > pd< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > %< / span > < span class = "token plain" > matpl
< div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > AAPL < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > fetch_ticker< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'AAPL'< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > datetime< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 2016< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 3< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 1< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > datetime< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 2016< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 5< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 1< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > ax < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > ohlc_dataframe< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > AAPL< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > plt< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > vlines< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > date2num< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > datetime< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 2016< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 4< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 26< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 12< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > ax< / span > <
< p > < img decoding = async loading = lazy alt = png src = /assets/images/_notebook_3_0-6ba22789c3bcc8bd99c64f3fbfa11b30.png width = 372 height = 266 class = img_ev3q > < / p >
< p > The second chart is from Facebook:< / p >
< div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > FB < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > fetch_ticker< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'FB'< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > datetime< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 2016< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 3< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 1< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > datetime< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 2016< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 5< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 5< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > ax < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > ohlc_dataframe< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > FB< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > plt< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > vlines< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > date2num< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > datetime< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 2016< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 4< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 27< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 12< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > ax< / span > < span c
< p > < img decoding = async loading = lazy alt = png src = /assets/images/_notebook_5_0-34febf65365a147cd218c9266b77e4fb.png width = 374 height = 266 class = img_ev3q > < / p >
< p > These two charts demonstrate two very specific phonomena: how the market prepares for earnings releases. Let's look at those charts again, but with some extra information. As we're about the see, the market "knew" in advance that Apple was going to perform poorly. The market expected that Facebook was going to perform poorly, and instead shot the lights out. Let's see that trend in action:< / p >
< details class = "details_lb9f alert alert--info details_b_Ee" data-collapsed = true > < summary > Code< / summary > < div > < div class = collapsibleContent_i85q > < div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > def< / span > < span class = "token plain" > < / span > < span class = "token function" style = "color:hsl(221, 87%, 60%)" > plot_hilo< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > ax< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > start< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > end< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > data< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > ax< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > plot< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token plain" > date2num< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > start< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > date2num< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > end< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token plain" > data< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > loc< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token plain" > start< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'High'< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > data< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > loc< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token plain" > end< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'High'< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > color< / span > < span class = "tok
< p > < img decoding = async loading = lazy alt = png src = /assets/images/_notebook_7_0-a9df30d31e6b96a01619455d5040eb8b.png width = 1041 height = 378 class = img_ev3q > < / p >
< p > As we can see above, the market broke a prevailing trend on Apple in order to go down, and ultimately predict the earnings release. For Facebook, the opposite happened. While the trend was down, the earnings were fantastic and the market corrected itself much higher.< / p >
< h2 class = "anchor anchorWithStickyNavbar_LWe7" id = formulating-the-question > Formulating the Question< a href = #formulating-the-question class = hash-link aria-label = "Direct link to Formulating the Question" title = "Direct link to Formulating the Question" > < / a > < / h2 >
< p > While these are two specific examples, there are plenty of other examples you could cite one way or another. Even if the preponderance of evidence shows that the market correctly predicts earnings releases, we need not accuse people of collusion; for a company like Apple with many suppliers we can generally forecast how Apple has done based on those same suppliers.< / p >
< p > The question then, is this: < strong > how well does the market predict the earnings releases?< / strong > It's an incredibly broad question that I want to disect in a couple of different ways:< / p >
< ol >
< li > Given a stock that has been trending down over the past N days before an earnings release, how likely does it continue downward after the release?< / li >
< li > Given a stock trending up, how likely does it continue up?< / li >
< li > Is there a difference in accuracy between large- and small-cap stocks?< / li >
< li > How often, and for how long, do markets trend before an earnings release?< / li >
< / ol >
< p > < strong > I want to especially thank Alejandro Saltiel for helping me retrieve the data.< / strong > He's great. And now for all of the interesting bits.< / p >
< h2 class = "anchor anchorWithStickyNavbar_LWe7" id = event-studies > Event Studies< a href = #event-studies class = hash-link aria-label = "Direct link to Event Studies" title = "Direct link to Event Studies" > < / a > < / h2 >
< p > Before we go too much further, I want to introduce the actual event study. Each chart intends to capture a lot of information and present an easy-to-understand pattern:< / p >
< details class = "details_lb9f alert alert--info details_b_Ee" data-collapsed = true > < summary > Code< / summary > < div > < div class = collapsibleContent_i85q > < div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > numpy < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > as< / span > < span class = "token plain" > np< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > pandas < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > as< / span > < span class = "token plain" > pd< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > pandas< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > tseries< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > holiday < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > USFederalHolidayCalendar< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > pandas< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > tseries< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > offsets < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > CustomBusinessDay< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > datetime < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > datetime< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > timedelta< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" style = display:inline-block > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # If you remove rules, it removes them from *all* calendars< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # To ensure we don't pop rules we don't want to, first make< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # sure to fully copy the object< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > trade_calendar < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > USFederalHolidayCalendar< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > trade_calendar< / span > < span
< div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # Generate a couple of random events< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" style = display:inline-block > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > event_dates < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > < / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token plain" > datetime< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 2016< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 5< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 27< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > -< / span > < span class = "token plain" > timedelta< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > days< / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 1< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > -< / span > < span class = "token plain" > TradeDay< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > x< / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > *< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 20< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > for< / span > < span class = "token plain" > x < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > in< / span > < span class = "token plain" > < / span > < span class = "token builtin" style = "color:hsl(119, 34%, 47%)" > range< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 1< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 40< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > data < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > fetch_event_data< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'CELG'< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > event_dates< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > plot_study_small< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (
< p > < img decoding = async loading = lazy alt = png src = /assets/images/_notebook_11_0-1c14b9b64e0cc03bce9e40f936d85202.png width = 721 height = 368 class = img_ev3q > < / p >
< p > And as a quick textual explanation as well:< / p >
< ul >
< li > The blue line represents the mean price for each day, represented as a percentage of the price on the '0-day'. For example, if we defined an 'event' as whenever the stock price dropped for three days, we would see a decreasing blue line to the left of the 0-day.< / li >
< li > The blue shaded area represents one standard deviation above and below the mean price for each day following an event. This is intended to give us an idea of what the stock price does in general following an event.< / li >
< li > The green bars are the minimum and maximum price for each day following an event. This instructs us as to how much it's possible for the stock to move.< / li >
< / ul >
< h2 class = "anchor anchorWithStickyNavbar_LWe7" id = event-type-1-trending-down-over-the-past-n-days > Event Type 1: Trending down over the past N days< a href = #event-type-1-trending-down-over-the-past-n-days class = hash-link aria-label = "Direct link to Event Type 1: Trending down over the past N days" title = "Direct link to Event Type 1: Trending down over the past N days" > < / a > < / h2 >
< p > The first type of event I want to study is how stocks perform when they've been trending down over the past couple of days prior to a release. However, we need to clarify what exactly is meant by "trending down." To do so, we'll use the following metric: < strong > the midpoint between each day's opening and closing price goes down over a period of N days< / strong > .< / p >
< p > It's probably helpful to have an example:< / p >
< details class = "details_lb9f alert alert--info details_b_Ee" data-collapsed = true > < summary > Code< / summary > < div > < div class = collapsibleContent_i85q > < div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > f< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > axarr < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > plt< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > subplots< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 1< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 2< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > f< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > set_size_inches< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 18< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 6< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" style = display:inline-block > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > FB_plot < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > axarr< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 0< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > ohlc_dataframe< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > FB< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token plain" > datetime< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 2016< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 4< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 18< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ]< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > FB_plot< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" style = display:inline-block > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > FB_truncated < / span > < span cl
< p > < img decoding = async loading = lazy alt = png src = /assets/images/_notebook_14_0-8fad23eda4377ce379465c56be3eb022.png width = 1041 height = 378 class = img_ev3q > < / p >
< p > Given these charts, we can see that FB was trending down for the four days preceding the earnings release, and AAPL was trending down for a whopping 8 days (we don't count the peak day). This will define the methodology that we will use for the study.< / p >
< p > So what are the results? For a given horizon, how well does the market actually perform?< / p >
< details class = "details_lb9f alert alert--info details_b_Ee" data-collapsed = true > < summary > Code< / summary > < div > < div class = collapsibleContent_i85q > < div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # Read in the events for each stock;< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # The file was created using the first code block in the Appendix< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > yaml< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > dateutil< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > parser < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > parse< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > progressbar < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > ProgressBar< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" style = display:inline-block > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > data_str < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > < / span > < span class = "token builtin" style = "color:hsl(119, 34%, 47%)" > open< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'earnings_dates.yaml'< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > < / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'r'< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > read< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # Need to remove invalid lines< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > filtered < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > < / span > < span class = "token builtin" style = "color:hsl(119, 34%, 47%)" > filter< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > lambda< / span > < span class = "token plain" > x< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > '{'< / span > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > not< / span > < span class = "token plain" > < / span > < span class = "token ke
< p > < img decoding = async loading = lazy alt = png src = /assets/images/_notebook_16_1-144f4c4021e22c02fe015acc38d26343.png width = 1050 height = 397 class = img_ev3q > < / p >
< p > When a stock has been trending down for 5 days, once the earnings are announced it really doesn't move on average. However, the variability is < em > incredible< / em > . This implies two important things:< / p >
< ol >
< li > The market is just as often wrong about an earnings announcement before it happens as it is correct< / li >
< li > The incredible width of the min/max bars and standard deviation area tell us that the market reacts < em > violently< / em > after the earnings are released.< / li >
< / ol >
< p > Let's repeat the same study, but over a time horizon of 8 days and 3 days. Presumably if a stock has been going down for 8 days at a time before the earnings, the market should be more accurate.< / p >
< details class = "details_lb9f alert alert--info details_b_Ee" data-collapsed = true > < summary > Code< / summary > < div > < div class = collapsibleContent_i85q > < div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # 8 day study next< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > study_trend< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 8< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > does_trend_down< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < br > < / span > < / code > < / pre > < div class = buttonGroup__atx > < button type = button aria-label = "Copy code to clipboard" title = Copy class = clean-btn > < span class = copyButtonIcons_eSgA aria-hidden = true > < svg viewBox = "0 0 24 24" class = copyButtonIcon_y97N > < path fill = currentColor d = "M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z" / > < / svg > < svg viewBox = "0 0 24 24" class = copyButtonSuccessIcon_LjdS > < path fill = currentColor d = M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z / > < / svg > < / span > < / button > < / div > < / div > < / div > < div class = "codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-text codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > 100% (47578 of 47578) |###########################################################| Elapsed Time: 0:20:29 Time: 0:20:29< / span > < br > < / span > < / code > < / pre > < div class = buttonGroup__atx > < button type = button aria-label = "Copy code to clipboard" title = Copy class = clean-btn > < span class = copyButtonIcons_eSgA aria-hidden = true > < svg viewBox = "0 0 24 24" class = copyButtonIcon_y97N > < path fill = currentColor d = "M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z" / > < / svg > < svg viewBox = "0 0 24 24" class = copyButtonSuccessIcon_LjdS > < path fill = currentColor d = M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z / > < / svg > < / span > < / button > < / div > < / div > < / div > < / div > < / div > < / details >
< p > < img decoding = async loading = lazy alt = png src = /assets/images/_notebook_18_1-0c204d1f3b296db4c925816140a946f2.png width = 1047 height = 397 class = img_ev3q > < / p >
< p > However, looking only at stocks that trended down for 8 days prior to a release, the same pattern emerges: on average, the stock doesn't move, but the market reaction is often incredibly violent.< / p >
< details class = "details_lb9f alert alert--info details_b_Ee" data-collapsed = true > < summary > Code< / summary > < div > < div class = collapsibleContent_i85q > < div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # 3 day study after that< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > study_trend< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 3< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > does_trend_down< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < br > < / span > < / code > < / pre > < div class = buttonGroup__atx > < button type = button aria-label = "Copy code to clipboard" title = Copy class = clean-btn > < span class = copyButtonIcons_eSgA aria-hidden = true > < svg viewBox = "0 0 24 24" class = copyButtonIcon_y97N > < path fill = currentColor d = "M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z" / > < / svg > < svg viewBox = "0 0 24 24" class = copyButtonSuccessIcon_LjdS > < path fill = currentColor d = M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z / > < / svg > < / span > < / button > < / div > < / div > < / div > < div class = "codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-text codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > 100% (47578 of 47578) |###########################################################| Elapsed Time: 0:26:26 Time: 0:26:26< / span > < br > < / span > < / code > < / pre > < div class = buttonGroup__atx > < button type = button aria-label = "Copy code to clipboard" title = Copy class = clean-btn > < span class = copyButtonIcons_eSgA aria-hidden = true > < svg viewBox = "0 0 24 24" class = copyButtonIcon_y97N > < path fill = currentColor d = "M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z" / > < / svg > < svg viewBox = "0 0 24 24" class = copyButtonSuccessIcon_LjdS > < path fill = currentColor d = M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z / > < / svg > < / span > < / button > < / div > < / div > < / div > < / div > < / div > < / details >
< p > < img decoding = async loading = lazy alt = png src = /assets/images/_notebook_20_1-76d1356ea34f0db5122ddbeb90dc117c.png width = 1040 height = 397 class = img_ev3q > < / p >
< p > Finally, when we look at a 3-day horizon, we start getting some incredible outliers. Stocks have a potential to move over ~300% up, and the standard deviation width is again, incredible. The results for a 3-day horizon follow the same pattern we've seen in the 5- and 8-day horizons.< / p >
< h2 class = "anchor anchorWithStickyNavbar_LWe7" id = event-type-2-trending-up-for-n-days > Event Type 2: Trending up for N days< a href = #event-type-2-trending-up-for-n-days class = hash-link aria-label = "Direct link to Event Type 2: Trending up for N days" title = "Direct link to Event Type 2: Trending up for N days" > < / a > < / h2 >
< p > We're now going to repeat the analysis, but do it for uptrends instead. That is, instead of looking at stocks that have been trending down over the past number of days, we focus only on stocks that have been trending up.< / p >
< details class = "details_lb9f alert alert--info details_b_Ee" data-collapsed = true > < summary > Code< / summary > < div > < div class = collapsibleContent_i85q > < div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > def< / span > < span class = "token plain" > < / span > < span class = "token function" style = "color:hsl(221, 87%, 60%)" > does_trend_up< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > ticker< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > event< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > horizon< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # Figure out if the `event` has an uptrend for< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # the `horizon` days preceding it< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # As an interpretation note: it is assumed that< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # the closing price of day `event` is the reference< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # point, and we want `horizon` days before that.< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # The price_data.hdf was created in the second appendix code block< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > try< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > ticker_data < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > pd< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > read_hdf< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token string" style = "color:hsl(119, 34%, 47%)" > 'price_data.hdf'< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > ticker< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > data < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "token plain" > ticker_data< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > [< / span > < span class = "token plai
< p > < img decoding = async loading = lazy alt = png src = /assets/images/_notebook_23_1-86585ab19c818b386afb7ec00dbec595.png width = 1040 height = 397 class = img_ev3q > < / p >
< p > The patterns here are very similar. With the exception of noting that stocks can go to nearly 400% after an earnings announcement (most likely this included a takeover announcement, etc.), we still see large min/max bars and wide standard deviation of returns.< / p >
< p > We'll repeat the pattern for stocks going up for both 8 and 3 days straight, but at this point, the results should be very predictable:< / p >
< details class = "details_lb9f alert alert--info details_b_Ee" data-collapsed = true > < summary > Code< / summary > < div > < div class = collapsibleContent_i85q > < div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > study_trend< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 8< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > does_trend_up< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < br > < / span > < / code > < / pre > < div class = buttonGroup__atx > < button type = button aria-label = "Copy code to clipboard" title = Copy class = clean-btn > < span class = copyButtonIcons_eSgA aria-hidden = true > < svg viewBox = "0 0 24 24" class = copyButtonIcon_y97N > < path fill = currentColor d = "M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z" / > < / svg > < svg viewBox = "0 0 24 24" class = copyButtonSuccessIcon_LjdS > < path fill = currentColor d = M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z / > < / svg > < / span > < / button > < / div > < / div > < / div > < div class = "codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-text codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > 100% (47578 of 47578) |###########################################################| Elapsed Time: 0:20:51 Time: 0:20:51< / span > < br > < / span > < / code > < / pre > < div class = buttonGroup__atx > < button type = button aria-label = "Copy code to clipboard" title = Copy class = clean-btn > < span class = copyButtonIcons_eSgA aria-hidden = true > < svg viewBox = "0 0 24 24" class = copyButtonIcon_y97N > < path fill = currentColor d = "M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z" / > < / svg > < svg viewBox = "0 0 24 24" class = copyButtonSuccessIcon_LjdS > < path fill = currentColor d = M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z / > < / svg > < / span > < / button > < / div > < / div > < / div > < / div > < / div > < / details >
< p > < img decoding = async loading = lazy alt = png src = /assets/images/_notebook_25_1-0db87f90eaf0febd08b4775910528a75.png width = 1047 height = 397 class = img_ev3q > < / p >
< details class = "details_lb9f alert alert--info details_b_Ee" data-collapsed = true > < summary > Code< / summary > < div > < div class = collapsibleContent_i85q > < div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > study_trend< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token number" style = "color:hsl(35, 99%, 36%)" > 3< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > does_trend_up< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < br > < / span > < / code > < / pre > < div class = buttonGroup__atx > < button type = button aria-label = "Copy code to clipboard" title = Copy class = clean-btn > < span class = copyButtonIcons_eSgA aria-hidden = true > < svg viewBox = "0 0 24 24" class = copyButtonIcon_y97N > < path fill = currentColor d = "M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z" / > < / svg > < svg viewBox = "0 0 24 24" class = copyButtonSuccessIcon_LjdS > < path fill = currentColor d = M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z / > < / svg > < / span > < / button > < / div > < / div > < / div > < div class = "codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-text codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > 100% (47578 of 47578) |###########################################################| Elapsed Time: 0:26:56 Time: 0:26:56< / span > < br > < / span > < / code > < / pre > < div class = buttonGroup__atx > < button type = button aria-label = "Copy code to clipboard" title = Copy class = clean-btn > < span class = copyButtonIcons_eSgA aria-hidden = true > < svg viewBox = "0 0 24 24" class = copyButtonIcon_y97N > < path fill = currentColor d = "M19,21H8V7H19M19,5H8A2,2 0 0,0 6,7V21A2,2 0 0,0 8,23H19A2,2 0 0,0 21,21V7A2,2 0 0,0 19,5M16,1H4A2,2 0 0,0 2,3V17H4V3H16V1Z" / > < / svg > < svg viewBox = "0 0 24 24" class = copyButtonSuccessIcon_LjdS > < path fill = currentColor d = M21,7L9,19L3.5,13.5L4.91,12.09L9,16.17L19.59,5.59L21,7Z / > < / svg > < / span > < / button > < / div > < / div > < / div > < / div > < / div > < / details >
< p > < img decoding = async loading = lazy alt = png src = /assets/images/_notebook_26_1-686b3995a84cbcac983b369843d1e222.png width = 1040 height = 397 class = img_ev3q > < / p >
< h2 class = "anchor anchorWithStickyNavbar_LWe7" id = conclusion-and-summary > Conclusion and Summary< a href = #conclusion-and-summary class = hash-link aria-label = "Direct link to Conclusion and Summary" title = "Direct link to Conclusion and Summary" > < / a > < / h2 >
< p > I guess the most important thing to summarize with is this: < strong > looking at the entire market, stock performance prior to an earnings release has no bearing on the stock's performance.< / strong > Honestly: given the huge variability of returns after an earnings release, even when the stock has been trending for a long time, you're best off divesting before an earnings release and letting the market sort itself out.< / p >
< p > < em > However< / em > , there is a big caveat. These results are taken when we look at the entire market. So while we can say that the market as a whole knows nothing and just reacts violently, I want to take a closer look into this data. Does the market typically perform poorly on large-cap/high liquidity stocks? Do smaller companies have investors that know them better and can thus predict performance better? Are specific market sectors better at prediction? Presumably technology stocks are more volatile than the industrials.< / p >
< p > So there are some more interesting questions I still want to ask with this data. Knowing that the hard work of data processing is largely already done, it should be fairly simple to continue this analysis and get much more refined with it. Until next time.< / p >
< h1 > Appendix< / h1 >
< p > Export event data for Russell 3000 companies:< / p >
< details class = "details_lb9f alert alert--info details_b_Ee" data-collapsed = true > < summary > Code< / summary > < div > < div class = collapsibleContent_i85q > < div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > pandas < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > as< / span > < span class = "token plain" > pd< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > html< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > parser < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > HTMLParser< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > datetime < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > datetime< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > timedelta< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > requests< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > re< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > dateutil < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > parser< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > progressbar< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > concurrent < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > futures< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > yaml< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" style = display:inline-block > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > class< / span > < span class = "token plain" > < / span > < span class = "token class-name" style = "color:hsl(35, 99%, 36%)" > EarningsParser< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > HTMLParser< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > store_dates < / span > < span class = "token operator" style = "color:hsl(221, 87%, 60%)" > =< / span > < span class = "to
< p > Downloading stock price data needed for the event studies:< / p >
< details class = "details_lb9f alert alert--info details_b_Ee" data-collapsed = true > < summary > Code< / summary > < div > < div class = collapsibleContent_i85q > < div class = "language-python codeBlockContainer_Ckt0 theme-code-block" style = "--prism-background-color:hsl(230, 1%, 98%);--prism-color:hsl(230, 8%, 24%)" > < div class = codeBlockContent_biex > < pre tabindex = 0 class = "prism-code language-python codeBlock_bY9V thin-scrollbar" style = "background-color:hsl(230, 1%, 98%);color:hsl(230, 8%, 24%)" > < code class = codeBlockLines_e6Vv > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > secrets < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > QUANDL_KEY< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > pandas < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > as< / span > < span class = "token plain" > pd< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > yaml< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > dateutil< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > .< / span > < span class = "token plain" > parser < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > parse< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > datetime < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > timedelta< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > quandl< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > from< / span > < span class = "token plain" > progressbar < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > import< / span > < span class = "token plain" > ProgressBar< / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" style = display:inline-block > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token keyword" style = "color:hsl(301, 63%, 40%)" > def< / span > < span class = "token plain" > < / span > < span class = "token function" style = "color:hsl(221, 87%, 60%)" > fetch_ticker< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > (< / span > < span class = "token plain" > ticker< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > start< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > ,< / span > < span class = "token plain" > end< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > )< / span > < span class = "token punctuation" style = "color:hsl(119, 34%, 47%)" > :< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # Quandl is currently giving me issues with returning< / span > < span class = "token plain" > < / span > < br > < / span > < span class = token-line style = "color:hsl(230, 8%, 24%)" > < span class = "token plain" > < / span > < span class = "token comment" style = "color:hsl(230, 4%, 64%)" > # the entire dataset and not slicing server-side.< / span > < span class = "token plain" > < / span > < br > < / span > < span
