Sentiment#84tier 1live in productionNew

`analyst revision breadth`

cadence: Dailydata: lowlong shortlong onlyshort only

1991

#84 analyst_revision_breadth — Brown 1991 + Givoly-Lakonishok 1979 analyst-revision breadth.

Mechanism

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.

Signal rule

net_breadth_30d = (#up - #down) / total_analysts; top-decile long, bottom-decile short.

Data dependencies

earnings_history
Worker data table — see services/worker schema.

Expected edge

~3-6% annualized long-short, lower in high-VIX regimes.

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

Related families

analyst revision jumpSentiment

So & 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

analyst forecast dispersionSentiment

Diether, Malloy & Scherbina (2002) *Journal of Finance*, "Differences of Opinion and the Cross-Section of Stock Returns."

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analyst revision breadth