Jul

23

I did a quick check under the AAPL tree and looked up earnings report dates from 1/05 to the present. I then checked returns for the three days prior (to the close of announcement day), on just the earnings day, close to following close, and three days after (close the day after announcement to the close three days later). I did this, not only for AAPL, but also for SPY, and QQQQ.

Here is three days prior:

One-Sample T: AA3d pre, SP 3d pre, QQ3d pre

       N       Mean     StDev   SE Mean             95% CI                 T      P
AA   10  -0.00490  0.03970  0.01255  (-0.033315, 0.023497)  -0.39  0.705
SP   10   0.00366  0.00923  0.00292  (-0.002940, 0.010274)   1.26  0.241
QQ  10   0.00082  0.01510  0.00477  (-0.009981, 0.011625)   0.17  0.867

I found that there was an insignificant pre-earnings drop for AAPL, and SPY was up slightly over the same period.

My next check was the day after earnings announcement: 

One-Sample T: AAer day, SP er day, QQer day

      N       Mean     StDev   SE Mean             95% CI                T      P
AA  10   0.01325  0.06872  0.02173  (-0.035904, 0.062418)   0.61  0.557
SP  10   0.00141  0.00693  0.00219  (-0.003541, 0.006378)   0.65  0.534
QQ 10  -0.00511  0.01064  0.00336  (-0.012734, 0.002497)  -1.52  0.163

Here there was nothing much with AAPL, but QQQQ was somewhat down.

Next I checked the three days following earnings announcement (from close the following day):

One-Sample T: AA3d post, SP 3d post, QQ3d post

      N       Mean     StDev   SE Mean              95% CI                 T      P
AA  10   0.01002  0.04008  0.01267  (-0.018647, 0.038697)   0.79  0.449
SP  10   0.00150  0.00910  0.00287  (-0.005008, 0.008016)   0.52  0.614
QQ 10  -0.00271  0.01481  0.00468  (-0.013312, 0.007881)  -0.58  0.576

Again nothing much.

Now what does AAPL do on the day after earnings announcements, as a function of the pre-earnings three day return?

Regression Analysis: AAer day versus AA3d pre

The regression equation is AAer day = 0.0179 + 0.946 AA3d pre

Predictor     Coef     SE Coef     T      P
Constant    0.0179   0.0195   0.92  0.385
AA3d pre    0.9461   0.5123  1.85  0.102

S = 0.0610337   R-Sq = 29.9%   R-Sq(adj) = 21.1%

There is a positive correlation between AAPL post-earnings day returns and it's prior three day return. What about the next three days in QQQQ vs. AAPL post-earnings day?

Regression Analysis: QQ3d post versus AAer day

The regression equation is QQ3d post = - 0.00420 + 0.112 AAer day

Predictor       Coef      SE Coef      T      P
Constant   -0.00420   0.00432  -0.97  0.360
AAer day    0.11230   0.06505   1.73  0.123

S = 0.0134105   R-Sq = 27.1%   R-Sq(adj) = 18.0%

There is some tendency for a positive correlation between QQQQ three days after and AAPL post-earnings day. However tests with SPY shows much weaker results:

Regression Analysis: SP 3d post versus AAer day

The regression equation is SP 3d post = 0.00085 + 0.0495 AAer day

Predictor      Coef      SE Coef     T      P
Constant    0.00085   0.00289  0.29  0.777
AAer day    0.04950   0.04344  1.14  0.287

S = 0.00895612   R-Sq = 14.0%   R-Sq(adj) = 3.2%

From this it seems hard to conclude that AAPL moves the market much, but maybe some industrious spec can check on interactions between GOOG and AAPL. Here are the AAPL dates and data:

Date AA3d pre AAer day AA3d post
04/25/07  0.048   0.037   0.006
01/17/07 -0.009  -0.062  -0.038
10/18/06 -0.007   0.060   0.026
07/19/06  0.068   0.118   0.024
04/19/06 -0.012   0.030  -0.022
01/18/06 -0.021  -0.042  -0.038
10/11/05 -0.002  -0.045   0.085
07/13/05  0.003   0.063   0.060
04/13/05 -0.062  -0.092  -0.005
01/12/05 -0.055   0.066   0.001


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