analyst recommendation revision drift
What it checks
When 2 or more analyst upgrades (or downgrades) cluster on the same stock within 2 weeks, the stock drifts in that direction for 2-6 weeks. Go long upgrade clusters, short downgrade clusters.
Mechanism
Cluster upgrades or downgrades (>= 2 same-direction rating-transition events within 14 days) predict drift over the subsequent 10/20/30 trading days. Womack 1996 documents +2-4% on upgrade clusters; Jegadeesh-Kim 2009 shows symmetric -2-3% on downgrade clusters. The herd-effect literature shows clusters resolve disagreement uncertainty.
Signal rule
>= 2 same-direction consensus transitions (Buy/Hold/Sell rank change) within 14 calendar days (T+1) -> LONG upgrade-cluster / SHORT downgrade-cluster for 10/20/30 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
analyst_estimatesWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- +/-2-4% over 10-30d
- Paper window
- T+1 to T+30d
+2-4% LONG / -2-3% SHORT over 10-30d on cluster events.
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) JAR "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 around T+5 and the price continues to drift through it. Reported: Sharpe 1.5, 30-day drift, robust 2003-2022. v1 approximation flags gaps ≥3% with no earnings event in trailing 5d as "unrevised"; long on upside gaps, short on downside gaps, hold 21-63d.
analyst revision breadthSentimentCount of upward vs downward EPS revisions in trailing 30 days, normalized by total analyst count. Breadth (proportion of analysts moving in the same direction) predicts post-revision drift more reliably than magnitude alone — collective updates are sticky.
analyst forecast dispersion shortInsider & FlowFocused SHORT-only variant of the DMS 2002 dispersion sort. Uses EPS-estimate dispersion (eps_high - eps_low)/|eps_avg| when available, falls back to price-target dispersion. Distinct from #70 analyst_forecast_dispersion (LONG-SHORT pair on absolute thresholds) and #328 analyst_dispersion_uncertainty (loose min_analysts >= 3): this family applies a 252d-rolling z-score normalization and a stricter min_analysts >= 5 cutoff.
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