Company Events & EarningsExtended setexperimental liveNew

Peer Earnings Shock Propagation

Updated dailyData needs: highlong onlyshort onlylong short

2010

Menzly-Ozbas 2010 JF -- Market Segmentation and Cross-predictability of Returns.

In plain terms

When a TNIC competitor beats (or misses) earnings, the focal stock tends to drift in the same direction before its own announcement.

How it works

Earnings surprises at TNIC peers propagate to the focal ticker before its own announcement. Positive peer surprises predict upward price drift in the focal stock; negative shocks predict downward drift. The effect is largest when the peer is a close TNIC competitor.

Live results

0 times picked on its own · 135 times inside a blend (130 beat the stock) · updated 2026-07-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 135 such blended picks (130 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Earnings history
A data feed this strategy reads, refreshed on its normal schedule.
Tnic peers
Hoberg-Phillips text-based industry classification peer lists (annual).

Expected edge

Reported return: ~2% 10-day abnormal return
Tested over: 1980-2004 (Menzly-Ozbas)

Peer earnings surprise propagation: ~2% 10-day return in high-similarity pairs.

Related families

Peer Price Shock PropagationCompany Events & Earnings

When a close TNIC competitor has a large price move, the focal stock tends to follow in the same direction over the next 1-5 days as the market slow-processes the related news.

Peer Contract Shock PropagationEconomy & Policy

When a TNIC competitor wins or loses a large government contract, the focal stock drifts in the same direction as the market recalibrates vendor revenue exposure.

Explore Peer Earnings Shock Propagation on alphactor.ai

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