Company Events & EarningsExtended setexperimental liveNew

TNIC Earnings Surprise Spillover

Updated event-triggeredData needs: mediumlong onlyshort onlylong short

2008

Cohen-Frazzini 2008 JF (PEAD spillover variant).

In plain terms

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.

How it works

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.

Live results

91 times picked on its own · 215 times inside a blend (210 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 215 such blended picks (210 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).
Earnings history
A data feed this strategy reads, refreshed on its normal schedule.

Expected edge

Reported return: 113 bps/mo (peer return basket)
Tested over: 1980-2005 (Cohen-Frazzini)

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

Related families

Post-Earnings DriftCompany Events & Earnings

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.

SUE Zscore DriftCompany Events & Earnings

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.

TNIC Momentum SpilloverPrice & Market Behavior

The 1-month lagged return of a stock's text-similarity peer basket (TNIC, crosses sectors) predicts the focal stock's next-month return.

Explore TNIC Earnings Surprise Spillover on alphactor.ai

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