Strategies · Core
Earnings Announcement Premium
Overweight names (or the market) into scheduled earnings because average returns cluster around announcement windows.
Definition
Hold or overweight a stock in the days before and around its earnings date; flatten after. Cross-sectionally, high-uncertainty names can pay more. You are selling a calendar of events, not a residual-income model.
Why it matters
It is a clean event-risk premium. Crowding into the window and options markets have eaten part of it.
Case
A week of mega-cap earnings where implied moves are 8% and the average premium is 30bp. Capacity is an options-market problem.
How to read it
Pre vs post window, long-only vs LS, and whether you are just long beta on announcement weeks.
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