Peer Earnings Shock Propagation
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.
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
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.
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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