Measuring Earnings-Related Price Moves and Tail Risk

Summary

This TradingView indicator organizes historical price behavior around reported earnings. A configurable period measures percentage price changes before and after earnings, while earnings actuals and estimates classify reports as surprises or misses. The display also groups earnings data by calendar quarter and exposes company financial measures, including several accounting and credit quality indicators.

For risk context, it calculates historical Value at Risk from daily returns and can also estimate Expected Shortfall by averaging returns beyond the VaR cutoff. The interface can show risk measures as bands and display historical highs, lows, and summary statistics. These outputs describe past observations and can help frame event risk, but the document supplies no performance evaluation or evidence that earnings classifications predict future returns. Historical VaR and Expected Shortfall are sensitive to the sampled return distribution and cannot account for unknowable extreme events; the indicator also uses daily asset returns rather than portfolio-level returns.

Key ideas

• The indicator measures price changes over a configurable window around earnings events.
• It compares reported earnings with estimates to label surprises and misses.
• Historical VaR estimates a return loss threshold at a selected confidence level.
• Expected Shortfall summarizes losses beyond the VaR threshold.
• Historical risk measures may understate losses from rare, unobserved events.

Tags

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