Despite an average EPS Beat Rate of 79% and an average Revenue Beat Rate of 82%, Google (GOOG) historically dropped precipitously more than 75% of the time in the week (seven calendar days) following its earnings reports over the last four quarters, losing an average of 5.38%.
This is a far more substantial drop than either the market or the tech sector as a whole, neither of which decline substantially more than 1.5% over the same period.
Even when the earnings releases over the last eight quarters are taken into account, Google still declines more precipitously than the market as a whole over the following week, losing an average of 2.03%, compared to an average 0.23% overall decline in the Nasdaq over the same period. Most strikingly, over the last eight earnings releases, Google declines during the following week more than 60% of the time.
Seasonal Odds is a live-updating stock market Almanac and real-time back-testing engine developed at Harvard and MIT. It was created by Daniel Nadler (PhD Candidate, Harvard) and Pete Kruskall (S.B. and M.Eng., MIT).
N.B.: In this statistical model, the stock is purchased the day before its official earnings release dates, and sold at the end of the trading day, seven calendar days after its official earnings release dates.