Re: possible trading strategy?
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I'm sure that you could do something like this for companies in the S&P 500 because so many stocks are changing hands based on index funds that you can play against that with individual companies. (in fact I know some hedge funds do this but I don't know their exact schemes)
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Why do you think prices won't move immediately after something blatantly as obvious as earnings? Index funds are, as a rule, price takers and you can't play against that, unless you're a market maker and no one else is willing to make markets. The way to play this is stat arb, but everyone's doing that too. The only fundamental way to make money off earnings is by understanding the announcement better than others.
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