Analyst Revision Breadth
In plain terms
Counts how many analysts revised in the same direction (not the size of revisions). Breadth predicts post-revision drift better than magnitude.
How it works
Count 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.
Data dependencies
- Earnings history
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- ~3-6% ann. L/S (Brown 1991 / Givoly-Lakonishok 1979)
- Tested over
- 1976-1988
~3-6% annualized long-short, lower in high-VIX regimes.
Related families
A big overnight gap NOT preceded by an analyst revision is mispriced — the revision arrives ~5 days later and the price drifts further in that direction.
When analysts disagree widely on a stock's earnings, it's overpriced (pessimists can't short-sell in size). Short high-dispersion, long low-dispersion.
Explore Analyst Revision Breadth on alphactor.ai
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