Its own screen, whole market
Reported since the close
Sessions
4
Mean return
-3.82%
vs S&P 500
-3.55%
Verdict
no verdict yet
The hypothesis, as registered
The product never buys a company on the morning it reports: proximity to earnings is a penalty in its screen. Yet this is the one moment when a headline is genuinely new and the price has only begun to react. The post-earnings drift is the best-documented anomaly after momentum; this asks whether it starts on day zero, inside the session.
The rule
Companies on the Nasdaq earnings calendar that reported after yesterday's close or before today's open — rows without a stated time are ignored. Among them, liquid names (average volume over 2M, price over $10) trading 2% to 12% above yesterday's close in the pre-market; take the largest gap in that band. Abstains on mornings with no such company, which will be most mornings outside earnings season.
Session by session
| Session | Pick | What the rule read | Return | vs S&P 500 |
|---|---|---|---|---|
| 2026-10-14 | passed | No company that reported since the close had traded in the pre-market on a liquid name. | — | — |
| 2026-10-13 | GSGoldman Sachs | pre-market gap +2.53% · reported pre-market · average volume 2,264k · 5-day return +0.05% | no price found | — |
| 2026-10-12 | passed | No company on the calendar reported since yesterday's close — or the calendar could not be read. | — | — |
| 2026-10-09 | passed | No liquid company that reported since the close was trading 2% to 12% above yesterday's close. | — | — |
| 2026-10-08 | passed | No liquid company that reported since the close was trading 2% to 12% above yesterday's close. | — | — |
| 2026-10-07 | passed | No liquid company that reported since the close was trading 2% to 12% above yesterday's close. | — | — |
| 2026-10-06 | NEOGNeogen Corporation | pre-market gap +6.85% · reported after-hours · average volume 4,696k · 5-day return -5.17% | -8.42% | -8.54% |
| 2026-10-05 | passed | No company on the calendar reported since yesterday's close — or the calendar could not be read. | — | — |
| 2026-10-02 | passed | No company on the calendar reported since yesterday's close — or the calendar could not be read. | — | — |
| 2026-10-01 | passed | No liquid company that reported since the close was trading 2% to 12% above yesterday's close. | — | — |
| 2026-09-30 | CAGConAgra Brands, Inc. | pre-market gap +2.54% · reported pre-market · average volume 11,448k · 5-day return -4.40% | -3.93% | -3.43% |
| 2026-09-29 | KMXCarMax Inc | pre-market gap +6.43% · reported pre-market · average volume 2,381k · 5-day return -2.26% | -1.95% | -1.60% |
| 2026-09-28 | JEFJefferies | pre-market gap +3.16% · reported after-hours · average volume 2,146k · 5-day return -0.46% | -0.97% | -0.61% |
| 2026-09-25 | passed | No company that reported since the close had traded in the pre-market on a liquid name. | — | — |