Sales have plunged across the retail sector.
Not surprisingly, the weak performance of those three dragged down the entire sector. The SPDR S&P Retail ETF (XRT) fell by more than 2 percent after the reports.
Macy's was plummeting 15 percent on Thursday to a six-year-low after the department store giant reported sales that dropped 7.5 percent, with same-store-sales lower by more than 5 percent.
Despite the carnage, new Macy's CEO Jeff Gennette said he was encouraged by the performance of pilot programs put in place over the last year, specifically women's shoes, jewelry and furniture. He added Macy's is investing aggressively on the digital front — an attempt to fend off retail giant Amazon.
Using hedge fund analytics tool Kensho, CNBC ran a study to find out how other retailers fare after a one-day drop of 10 percent or more by Macy's.
Since 2010, there have been just three other occasions where Macy's has fallen by at least 10 percent. A week later the SPDR S&P Retail ETF has traded negatively in each instance, down an average of 2 percent.
The worst of the bunch tends to be Sears Holdings, which drops by an average of greater than 14 percent a week later, trading negatively 100 percent of the time.
Nordstrom, which is set to report after the bell on Thursday, falls by an average of nearly 11 percent.
Dillard's traded lower a week after each of the three instances, losing an average of 6.3 percent.
In fact, Macy's is the the stock in the group that tends to hold up a little better. After the initial drop of more than 10 percent, the losses tend to slow, but still down an another 3.6 percent a week later, trading negatively 100 percent of the time.
Disclosure: NBCUniversal, the parent of CNBC, is a minority investor in Kensho.