  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.
