Featured Image

Increasing Transparency with Earnings Date Revisions During COVID-19

Coronavirus   |   Data Science and Technology

By David Francoeur  |  June 2, 2020

Institutional investors increasingly rely upon earnings date revisions to help formulate trading and risk strategies. Recent academic research has shown that tracking changes to earnings announcement dates can help investors generate additional alpha or mitigate risk in their portfolios.

By keeping financial professionals apprised of critical market-moving event revisions, they can opt to take advantage of—or avoid—short-term volatility in given equity or its underlying option.

With market volatility nearing an all-time high, many investors and risk managers might be wondering how to weather the blow. Advances in corporate-event fundamental data sourcing, algorithmic processing, and deep-bench human curation is a cost-effective quantamental approach to enhancing the efficacy of any risk management operation.

While the coronavirus pandemic caused the SEC to allow companies the option to extend quarterly earnings announcements past their normal filing due date, it has also created a new horizon for detecting both positive and negative "corporate body language."

Questions for Institutional Investors and Traders

We can investigate the impact of recent earnings date revisions by asking the following questions for institutional investors and traders: 

  • Has the company taken advantage of the SEC earnings date delay facility? If so, to what extent?
  • Conversely, in spite of new regulations allowing for earnings announcement delays, which companies are going in the opposite direction and expediting their quarterly earnings announcements?
  • Has the company suspended or canceled dividends?
  • Are any mergers and acquisitions (M&A) being canceled due to COVID-19?
  • Are companies changing their investor conference presenters? If so, who is now presenting and what is their job title?
  • What class action lawsuits are now being filed due to COVID-19?
  • Are there more biopharma PDUFA applications? Are companies more likely to collaborate and sponsor new drug development? If so, what companies and can I see the source documentation?
  • Can I tap your analysts to answer my own specific questions?

To shed light on these questions and the recent increase in earnings date changes, we examine the status of earnings season, confirmed earnings date revisions, and the confirmed earnings date outliers (Z-score) provided in this week's Wall Street Horizon Coronavirus Event Impact Report.

Status of Earnings Season

As of June 1, 2020, 89% of companies listed on a North American index have reported earnings for Q1.

wsh_earnings_status_chart

Source: Wall Street Horizon (as of May 28, 2020)

Confirmed Earnings Date Revisions 

Since March 1, 2020, 194 U.S. companies have changed their confirmed earnings dates. This is a rare event. Three of these events are highlighted below. 37 of the 194 events are for companies on major U.S. indices. 10 of the 37 events crossed option expiration dates.

ticker company name earnings date notes
ANF Abercrombie & Fitch Co. 5/28/2020 Abercrombie & Fitch Co. (NYSE:ANF) (F1000) *update from 5/11/2020 report – On 3/5/2020, Wall Street Horizon set an unconfirmed Q1 2020 earnings date of 5/28/2020 Before Market for ANF based on their reporting trends. ANF had a history of reporting Q1 results between 5/15-6/1 with no specific day of the week trend. On 5/1/2020 08:00, ANF issued a press release stating they would release Q1 2020 results 6/4/2020 Before Market. This 7-day move made a high Z-score of 3.01. This one-week change crossed weekly options date 5/29/2020. On 5/18/2020 08:00, ANF issued a subsequent press release stating the Q1 2020 earnings date changed from 6/4/2020 Before Market to 5/28/2020 Before Market. The initial forecasted date for ANF was correct. This subsequent change crossed the weekly options date 5/29/2020.
TPCO Tribune Publishing Company 6/5/2020 Tribune Publishing Company (NASDAQ:TPCO) – TPCO issued a press release 5/13/2020 16:01 stating they would release Q1 2020 results 5/22/2020 Before Market. The company subsequently issued a press release on 5/19/2020 18:56 stating they rescheduled the date from 5/22/2020 Before Market to 6/5/2020 Before Market.
TSQ Townsquare Media, Inc. 6/15/2020 Townsquare Media, Inc. (TSQ) – TSQ issued a press release 5/11/2020 17:00 stating they would release Q1 2020 results 5/27/2020 Before Market. The company subsequently issued a press release on 5/26/2020 14:30 stating they rescheduled the date from 5/27/2020 Before Market to 6/15/2020 Before Market.

Source: Wall Street Horizon (as of May 28, 2020)

Confirmed Earnings Date Outliers (Z-Score)

The Wall Street Horizon Z-score provides additional insight into the timing of a company’s next confirmed earnings date. This score indicates how far the confirmed date is from the norm for the same quarterly announcement over the previous five years, considering the standard deviation or consistency of the historical values. A high or low Z-score indicates the next date is more unexpected, more of an outlier. Of the 832 confirmed companies on major U.S. indices reporting this quarter, 91 have had a Z-score greater than three or less than -3. Of the 91 events, 29 crossed option expiration dates. Information on one of these companies is highlighted below.

ticker company name earnings date notes
RCL Royal Caribbean Cruises Ltd. 7/1/2020 Royal Caribbean Cruises Ltd. (NYSE:RCL) (SP500) – On 2/5/2020, Wall Street Horizon set an unconfirmed Q1 2020 earnings date of 4/29/2020 Before Market for RCL based on their reporting trends. RCL had a history of reporting Q1 results between 4/20-5/1 with no specific day of the week trend. On 5/11/2020 17:26, RCL filed an 8-K stating they would be utilizing the 45-day extension granted by the SEC for releasing Q1 2020 results. The filing stated RCL expected to file the 10-Q by the end of May. Wall Street Horizon pushed out the Q1 2020 unconfirmed date to 5/29/2020 based on this information. On 5/18/2020 18:34, RCL issued a press release stating they would release Q1 2020 results 5/20/2020 Before Market. This 21-day total move from the initial date made a high Z-score of 5.51. This one-week change, from 5/29/2020 to 5/20/2020, crossed weekly options date 5/22/2020.

Source: Wall Street Horizon (as of May 28, 2020)

For a free, complete report on the data outlined above, you can download the latest Wall Street Horizon Coronavirus Corporate Event Impact Report here and sign up to receive one weekly.

For more information on Wall Street Horizon, visit the Open:FactSet Marketplace.

The material presented is for informational purposes only. The views expressed in the material are the views of the author and are subject to change based on market and other conditions and factors; moreover, they do not necessarily represent the official views of Wall Street Horizon and its affiliates.

This blog post has been written by a third-party contributor and does not necessarily reflect the opinion of FactSet Research Systems Inc.

New call-to-action

David Francoeur

Vice President of Marketing, Wall Street Horizon

Comments