Do earnings events reset the trading clock?

Larger-than-normal trading volumes of both stocks and vanilla options prior to, and just after, quarterly earnings announcements suggest there are profits to be mined from these singular events. Often a stock price will “trend into the announcement†. Does trending matter? For this exercise we examine a large collection of earnings events (approximately 14 000 observations, from three widely disparate discrete years) and extract the subset of outcomes for which the price strongly increased or declined into the earnings date. Our conclusion: no momentum is retained, either in the realized return over the announcement (which we label the “earnings return†or “jump†) or in the subsequent short-horizon price performance.