Sales Surprise Drift
In plain terms
Revenue surprises (top-line beats or misses) predict 1-2 month drift, even when EPS surprise is controlled. Standardize the surprise by the firm's own trailing volatility to find the meaningful events.
How it works
Revenue surprises predict post-announcement drift INDEPENDENT of EPS surprises. Earnings can be massaged via accruals; top line is harder. Revenue beats with EPS misses are the cleanest signal, and the standardized z-score (own-ticker trailing sigma) avoids look-ahead.
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.
Expected edge
- Reported return
- ~5-8% over 60d extreme quintiles
- Tested over
- T+1 to T+60d
Jegadeesh-Livnat 2006; ~5-8% drift over 60d on extreme revenue surprise quintiles.
Related families
After an earnings beat (vs analyst expectations), the price drifts up over the next 30-60 days — markets are slow to fully digest the surprise.
PEAD using the standardized SUE z-score instead of raw surprise %. SUE is the academic canonical form — it accounts for how noisy each company's analyst consensus is.
A big overnight gap NOT preceded by an analyst revision is mispriced — the revision arrives ~5 days later and the price drifts further in that direction.
Explore Sales Surprise Drift on alphactor.ai
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