This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modelled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of stochastic differential equations to the pre-and after-report period using the Maximum Likelihood Estimation and Grid Search of parameters method. By examining the change in the model parameters after reports' publication, the study reveals that the reports have enough evidence to be a structural breakpoint, meaning that all the forecast models exploited are not applicable for forecasting and should be refitted shortly.

翻译：本文研究季度收益报告对股票价格的影响。股票盈利能力通过几何布朗扩散和恒定方差弹性模型进行建模。我们利用极大似然估计和参数网格搜索方法，将多种随机微分方程变体拟合至报告发布前后时段。通过检验报告发布后模型参数的变化，研究表明报告数据充分构成结构突变点，即所采用的所有预测模型均不适用于后续预测，须在短期内重新拟合。