INTEL (INTC)  
  t-1 day t-1 overnight t day t overnight t+1 day t+1 overnight t+2 day
n           49                49       49              49        49                 49        49
mu 0.13% 0.58% -0.15% 0.44% -0.78% 0.38% 0.18%
stdev 3.29% 1.55% 2.59% 5.18% 3.31% 1.93% 2.01%
z        0.27              2.60   (0.42)           0.59    (1.66)               1.38     0.64
max 11.82% 5.56% 7.70% 12.21% 7.05% 10.02% 5.52%
min -8.79% -3.99% -7.42% -18.10% -7.58% -2.68% -4.46%
%positive        0.45              0.67    0.45           0.59     0.45               0.53     0.49
Cumulative              
return 0.1% 0.7% 0.5% 1.0% 0.2% 0.6% 0.8%
S&P
  t-1 day t-1 overnight t day t overnight t+1 day t+1 overnight t+2 day
n           38                38       38              38        38                 38        38
mu -0.02% 0.07% 0.18% 0.03% 0.07% 0.07% 0.23%
stdev 1.12% 0.32% 0.92% 0.73% 0.83% 0.38% 1.18%
z       (0.09)              1.38    1.20           0.25     0.56               1.09     1.21
max 3.31% 0.77% 2.77% 1.71% 2.48% 1.57% 5.66%
min -2.89% -0.50% -2.42% -2.16% -2.09% -0.81% -1.69%
%positive        0.50              0.53    0.61           0.58     0.58               0.58     0.55
Cumulative              
return 0.0% 0.1% 0.2% 0.3% 0.3% 0.4% 0.6%
The tables above relate to a study I  did on price reactions to Intel earnings announcements.
The announcement normally comes after the market close on day t. In the tables "day" means
trading between 9:30am and 4:00pm, while "overnight" is 4:00pm to 9:30am.  
Conclusions:
1) Overnight trading before and after announcement is bullish, while day trading is bearish.
2) Buying Intel at the open the day before the announcement, and selling at the open
    the day after the announcement yields a return of 1%, compared to an S&P return of
    0.3% during the same time frame.
3) Days surrounding Intel announcements may be bullish for S&P (ok, this conclusion is
   pretty far out there, as there are only 38 observations)
Shallow thought:
Could the pros be taking advantage of the amateurs here? I.e. convincing amateurs to sell
during the days before the announcement, but themselves buying in the overnight?
It is interesting to note that Merrill Lynch put a very publicized downgrade on Intel yesterday, 
contradicting many of the buy-side shops analysts on Bloomberg radio. Several such analysts
remarked that Merrill is likely simply trying to increase trading profits.
(Disclosure: I don't own Intel stock or Merrill stock).
Ari Siegel
7/13/2004