Entity-Graph / Earnings#424tier 2experimental liveNew

`tnic earnings surprise spillover`

cadence: Event-triggereddata: mediumlong onlyshort onlylong short

2008

Cohen-Frazzini 2008 JF (PEAD spillover variant).

What it checks

When a stock similar to ours beats or misses earnings, ours often drifts in the same direction over the next 1-3 weeks. We position alongside.

Mechanism

Cross-firm PEAD: when a TNIC text-similar peer beats / misses earnings, the focal firm drifts in the SAME direction over 5-21 days as shared demand-chain information slowly propagates.

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

TNIC peer earnings surprise >= +/- 5% or 10% -> directional focal T+1, hold 5/10/21d.

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).
earnings_history
Worker data table, see services/worker schema.

Expected edge

Paper alpha: 113 bps/mo (peer return basket)
Paper window: 1980-2005 (Cohen-Frazzini)

PEAD-spillover analog of Cohen-Frazzini 113 bps/mo.

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.

tnic momentum spilloverMomentum

Lee, Sun, Wang & Zhang (2023) RFS "Technology Spillovers and Cross-Predictability": the lagged 1-month return of a focal stock's TNIC-3 peer basket predicts the focal's next-month return. Sharpe 1.3, +9% annualised alpha after Fama-French 5. The signal is orthogonal to industry/sector momentum because TNIC peers cross industry boundaries (text-similarity, not SIC-similarity).

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tnic earnings surprise spillover