analyst surprise momentum
What it checks
When a company's last two quarterly earnings reports BOTH beat (or BOTH missed) by a meaningful amount, the stock tends to keep drifting in that direction for the next 2-3 months. Go long sustained-beat companies, short sustained-miss companies.
Mechanism
Earnings surprise momentum — the magnitude of recent SUE surprises continues to drift over the subsequent 60-90 trading days as analyst estimates are slowly revised in the surprise's direction. FOS 1984 document the classic 60d PEAD drift; this family captures the MOMENTUM via the mean of trailing-2 quarterly surprise_pct values.
Signal rule
mean(trailing-2-quarterly surprise_pct) >= +5% (LONG) or <= -5% (SHORT), T+1 after the second event -> hold 60/90 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
earnings_historyWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- +/-3-6% over 60-90d
- Paper window
- T+1 to T+90d
+/-3-6% over 60-90d on sustained-direction surprise momentum (FOS 1984 PEAD replica).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
peadEvent-DrivenPost-Earnings Announcement Drift (Bernard-Thomas 1989): buy after an earnings surprise greater than 1σ, hold 30-60 days. Surprise is computed as (actual − consensus) / |consensus|, with σ taken from a trailing expanding window so prior thresholds don't leak future variance.
sue zscore driftEvent-DrivenBernard-Thomas 1989 JAE: SUE z-score (actual − consensus)/σ(consensus) outperforms raw surprise % as the PEAD signal because it conditions on the ticker's own consensus-dispersion noise. Original effect: top-decile SUE +6-8% over 60d, bottom-decile -5-7%. We approximate σ(consensus) by 12Q rolling std of own surprise_pct — within-ticker SUE.
earnings revision reversalMacroAnalyst-revision drift decays sharply — most return in first 30 days.
Explore analyst surprise momentum on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.