Fundamental#439tier 1live in productionNew

`tnic peer guidance spillover`

cadence: Dailydata: mediumlong onlyshort onlylong short

2008

Cohen, L., & Frazzini, A. (2008). Economic Links and Predictable Returns. JF 63:4. (Generalized to forward guidance text.)

Read the paper →

What it checks

When TNIC peers raise/lower forward guidance, the focal firm tends to follow 1-2 quarters later.

Mechanism

Keyword-match guidance-up vs guidance-down phrases in TNIC peer transcripts. 90d rolling sum z over 252d -> directional focal.

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

long focal when peer-guidance 90d-sum 252d z >= +1.5; short on z <= -1.5; hold 21/42/63d.

Data dependencies

earnings_call_transcripts
Full earnings-call transcripts (prepared + Q&A), tokenised.
entity_graph_edges
Worker data table, see services/worker schema.
daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Paper alpha: ~3-7%/yr
Paper Sharpe: ~0.6
Paper window: T+1 to T+63d

Cohen-Frazzini 2008 generalized to guidance text spillover.

Example tickers where this is likely to fire

NVDA MSFT PFE TSLA LLY

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

transcript peer relative toneText & Filings

Frankel-Jennings-Lee (2022 RAST) "Disclosure Sentiment: Machine Learning vs Dictionary Methods": FinBERT-tone residualized against peers in the same industry has 2× the post-earnings drift R² of raw tone. The idea: an absolute tone of +0.2 means very different things for a defensive consumer-staples name (peer baseline ~+0.3) vs an early-stage biotech (peer baseline ~−0.1). Subtracting the peer median isolates firm-specific narrative; long when peer-relative-tone z ≥ +1, short when ≤ −1.

tnic earnings surprise spilloverEntity-Graph / Earnings

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.

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tnic peer guidance spillover