Trading Buyback Announcements Around Earnings Dates

Summary

This document describes an event-driven long strategy that combines corporate repurchase announcements with upcoming earnings dates. It screens US-listed stocks, excludes the smallest market-cap quartile, and looks for buyback announcements of at least 5% of outstanding shares within a specified pre-earnings window. Eligible stocks are bought ahead of the earnings announcement, held through a short post-announcement period, and allocated equal target amounts subject to a 40-stock cap.

The evidence is an implementation outline rather than reported performance: it gives universe rules, timing, position sizing, and a fee model, but no returns, benchmark comparison, or statistical tests. The sample begins in 2011, when the buyback data is said to start. The code’s actual date offsets and liquidation check do not cleanly match the stated trading windows, and it uses calendar days despite comments questioning business-day offsets. Results would also depend on the supplied historical earnings and buyback data and on execution assumptions.

Key ideas

• The strategy buys stocks with qualifying repurchase announcements before scheduled earnings dates.
• It removes the bottom market-cap quartile from an NYSE, Nasdaq, and AMEX stock universe.
• Positions are sized toward equal portfolio allocations, with no more than 40 managed stocks.
• The implementation uses calendar-day offsets and contains timing details that differ from the stated windows.
• The document provides no backtest results or evidence that the signal is profitable.

Tags

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