Earnings#397tier 2experimental liveNew

`sales surprise drift`

cadence: Quarterlydata: lowlong onlyshort only

2006

Jegadeesh, N., Livnat, J. (2006). "Revenue Surprises and Stock Returns." Journal of Accounting and Economics 41(1-2), 147-171. Bartov, E., Givoly, D., Hayn, C. (2002). J. Accounting and Economics.

Read the paper →

What it checks

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.

Mechanism

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.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

|revenue_surprise z| >= 1 or 2 fires LONG (positive z) or SHORT (negative z) T+1, hold 30/60d.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
earnings_history
Worker data table, see services/worker schema.

Expected edge

Paper alpha: ~5-8% over 60d extreme quintiles
Paper window: T+1 to T+60d

Jegadeesh-Livnat 2006; ~5-8% drift over 60d on extreme revenue surprise quintiles.

Related families

peadEvent-Driven

Post-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-Driven

Bernard-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.

analyst revision jumpSentiment

So & Wang (2023) JAR "News-Implied Analyst Revisions and Drift": a large overnight gap on day t that isn't preceded by an analyst revision is mispriced — the revision arrives around T+5 and the price continues to drift through it. Reported: Sharpe 1.5, 30-day drift, robust 2003-2022. v1 approximation flags gaps ≥3% with no earnings event in trailing 5d as "unrevised"; long on upside gaps, short on downside gaps, hold 21-63d.

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sales surprise drift