wiki attention earnings interaction
What it checks
When Wikipedia pageviews on a stock surge AND there was a recent positive earnings surprise in the past 2 weeks, the typical post-earnings drift gets amplified — go long for 1-3 months.
Mechanism
When a stock has BOTH (a) high Wikipedia attention (top-decile WoW pageview growth) AND (b) a recent positive earnings surprise (surprise_pct > +5%), the standard PEAD drift is amplified — retail attention reinforces the institutional follow-on buying. Da-Engelberg-Gao document SVI x surprise interaction; this family replicates with Wikipedia attention.
Signal rule
Top-90th-pctl Wikipedia WoW pageview growth AND prior 14d earnings surprise > +5% (T+1) -> LONG for 21/45/60 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
wikipedia_pageviewsWikimedia daily pageview counts joined to ticker pages.
earnings_historyWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- +2-5% over 21-60d
- Paper window
- T+1 to T+60d
+2-5% over 21-60d on attention-amplified PEAD events (DEG 2011 × BT 1989).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
wikipedia attention spikeSentimentDa-Engelberg-Gao (2011 JF) "In Search of Attention" established that abnormal retail attention predicts a 2-week price run-up followed by a year-out reversal. Pyun (2024, SSRN 5172055) extends the work to Wikipedia pageviews and shows the Wiki signal dominates Google Trends in OOS tests — no rate limit, no normalisation-window confound, cleaner page identity per company. Signal is log(views / 90d median); long on >σ spikes for 2 weeks, short the reversal at 6 months when no earnings event explains the spike.
wikipedia attention reversalSentimentWikipedia pageview spikes — like Da-Engelberg-Gao 2011 SVI spikes — proxy retail-investor attention. Heim et al document that the attention-induced price bump REVERSES over 5-10 days: stocks in the top decile of week-over-week Wikipedia pageview growth underperform by ~1-2% over the subsequent 5-10 days as the attention-priced premium decays.
peadEvent-DrivenPost-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-DrivenBernard-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.
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