analyst dispersion
Mechanism
High analyst-forecast dispersion → asymmetric overpricing (short-sale constraints keep pessimists out). Short high-dispersion / long low-dispersion → 7-8% annualized.
Signal rule
coefficient_of_variation(FY1 EPS forecasts) per ticker; short top quintile, long bottom
Data dependencies
fmp_analyst_estimatesWorker data table — see services/worker schema.
Expected edge
~7% ann. historically; mechanism robust to short-sale constraint regimes
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
analyst revision jumpSentimentSo & Wang (2023) *Journal of Accounting Research*: "News-Implied Analyst Revisions and Drift." A large overnight gap on day t that ISN'T preceded by an analyst revision is mispriced — the revision arrives in T+5 and the price continues to drift through the revision. Reported: Sharpe 1.5, 30-day drift, robust
idio vol puzzleRisk-PremiumStocks with high idiosyncratic volatility relative to FF3 earn LOWER returns going forward — the "IVOL puzzle". Counterintuitive (more idio risk should imply higher required return) but robust across 23+
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