Company Events & EarningsExtended setexperimental liveNew

Peer Price Shock Propagation

Updated dailyData needs: highlong onlyshort onlylong short

2008

Cohen-Frazzini 2008 JF -- Economic Links and Predictable Returns.

In plain terms

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.

How it works

Large price shocks at TNIC-peer companies propagate to the focal ticker with a 1-5 day lag. The market underreacts to economically linked news; the focal company's price subsequently adjusts in the direction of the peer shock. Similarity-weighted peer-shock magnitude is the signal.

Live results

0 times picked on its own · 157 times inside a blend (152 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 157 such blended picks (152 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)

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Data dependencies

Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
Tnic peers
Hoberg-Phillips text-based industry classification peer lists (annual).

Expected edge

Reported return: ~1.5% 5-day abnormal return
Tested over: 1980-2005 (Cohen-Frazzini)

Peer-price shock propagation: ~1.5% 5-day return in high-similarity peer pairs.

Related families

Peer Earnings Shock PropagationCompany Events & Earnings

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

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 Price Shock Propagation on alphactor.ai

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