How the numbers are calculated

What the numbers are built on

• Prices: daily and intraday bars for US stocks, ETFs, futures and crypto. Stock prices are adjusted for splits, so a split does not appear as a price move.
• Insider trades: transactions that company insiders report to the SEC.
• Congress trades: trades disclosed by members of the US House and Senate. Amounts are published as ranges, and a disclosure can arrive weeks after the trade. Trades disclosed without a ticker are left out.
• Earnings: reported EPS and revenue, compared with the analyst estimate for the same report.
• Splits and dividends: split ratios, dividend amounts and their dates.
• Index changes: additions to and removals from the S&P 500, Nasdaq-100 and Dow Jones.

How an event study works

Each match is one event on one bar, called the event bar. Forward results start from the close of that bar.

• Move on the event bar: the open-to-close change on that bar.
• Return after N bars: the close-to-close change from the event bar to N bars later, at 1, 3, 5, 10, 20, 60, 90, 120, 150 and 200 bars. A horizon appears only when at least one event is old enough to reach it.
• Win rate: the share of events that closed higher at that horizon. An unchanged close counts as neither a win nor a loss.
• Positive closes in the next 10 bars: how many of the next 10 bars closed above the event close, averaged over the events that have all 10 bars.
• Bars to a higher or lower close: how many bars it took for a close to finish above or below the event close. Events that never did are counted separately.

Group figures are calculated from every event of every symbol in the group, not as an average of each symbol's average.

Gaps

A gap is the distance between a bar's open and the close before it. A gap fills on the first bar that trades back to that close: the low reaching it for a gap up, the high for a gap down. The gap bar itself counts, so a same-session fill is a fill.

Fill rates cover every gap that matched the filters, so gaps that are still open stay in the total.

Earnings

• Beat rate: the share of reports where actual EPS came in above the estimate. A report that matches the estimate counts in the total, but as neither a beat nor a miss.
• Surprise: the distance between the actual and estimated figure, as a percentage of the estimate.
• Stock reaction: measured on the first bar of the reporting date. A report released after the close reaches the price on the next session, so read the next bar as well.

Performance rankings

Total return is the price return plus the split-adjusted dividends with an ex-date inside the period. Dividends are added, not reinvested.

Limits of the data

• Statistics describe the past. They do not predict what happens next.
• Small samples are noisy. Check how many events a figure is based on before relying on it.
• Filings can be late, amended or incomplete, and a figure can change when they are corrected.
• Daily figures use completed bars. The screener updates after every close, and crypto days run on UTC.

Not investment advice

TailoredMarketData provides market data and statistics for information and education only. Nothing on this site or platform is financial, investment, legal, tax or trading advice, or a recommendation to buy or sell any security.

Found an error?

If a number looks wrong, send us the symbol, the date and the page. Contact us