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Deriving the First Trading Date After an Earnings Event

Article Quant Q&A · Author: Peter Lewis
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Summary

The document asks how to identify the first trading date on which a US stock can react to a company event, given the event date and its release time. Its examples distinguish announcements before the open from announcements after the close, and account for weekends when the next trading session is not the following calendar day. The use case includes earnings and offerings.

The response says it does not know of a single Bloomberg field that directly supplies this derived date. It suggests retrieving historical earnings announcement dates and times, or an expected report time field with a relative-period override for historical data, then comparing the timestamp with the stock’s trading hours. This approach requires applying the relevant market calendar and session rules; the document does not specify handling for holidays, early closes, or events outside regular hours. It offers a data-processing method rather than a ready-made field.

Key ideas

  • An event date alone does not determine the first trading date that can reflect the news.
  • The release time must be compared with the stock’s trading hours.
  • An after-close announcement generally maps to the next trading session.
  • Historical earnings date and time fields can provide inputs for calculating the date.
  • A trading calendar is needed to handle weekends and other nontrading days.

Tags

EquitiesEvent-drivenUS markets
Full text
# Is there a Bloomberg field for the first trading date after an event?


# Is there a Bloomberg field for the first trading date after an event?












For example, if a company reports earnings today after the close (6/24), the earnings date would be 6/24 but the field I'm looking for would be 6/25. If they reported tomorrow before the open, both fields would be 6/25. If they reported this Friday 6/26 after the close, this field would be Monday 6/29.

BB obviously has this since they show day 1 price reaction (on ERN for example) but can't tell me how to get it as a single field.

(This would be for US stocks, mainly earnings and offerings.)

## Answer by assylias (score 1, accepted)

https://quant.stackexchange.com/a/18512

HELP HELP can probably help you on this. But as far as I know there isn't a field that has this information. You can probably calculate it.

You could retrieve the content of the `EARN_ANN_DT_TIME_HIST_WITH_EPS` field - it contains dates and times of earning releases.

Alternatively you could use the `EXPECTED_REPORT_TIME` which has a `EQY_FUND_RELATIVE_PERIOD` override if you need past data.

You can then compare the times with the trading hours for the stock.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.