Score equities on earnings surprise, revenue and EPS growth, and analyst estimate revisions
Surfaces stocks with improving earnings dynamics. It scores eligible names on earnings-surprise size, the direction of analyst estimate revisions, and EPS and revenue growth, plus relative strength, then enriches the top names with upcoming report dates from the earnings calendar when available. The output is a ranked watch list with each stock's surprise, revision, and growth figures. It ranks names on these measures; if the earnings calendar is unavailable the screen still runs on the core factors, just without confirmed report dates.
Screening on earnings dynamics - the family with the strongest documented anomalies behind it.
THE TWO RESULTS THIS RESTS ON.
POST-EARNINGS-ANNOUNCEMENT DRIFT. Ball and Brown (1968) documented that prices continue moving in the direction of an earnings surprise rather than adjusting at once - using annual earnings and monthly returns, with the modern quarterly evidence established by later work. It is among the most replicated anomalies there is, and it is awkward for semi-strong efficiency precisely because the information is public.
REVISION MOMENTUM. Chan, Jegadeesh and Lakonishok (1996) found that earnings news and analyst forecast-revision information carry return predictability beyond past returns - so estimate revisions are not merely a restatement of price momentum.
WHY BOTH BELONG IN ONE SCREEN. Surprise is a discrete past event; revision direction is a continuous forward-looking adjustment. They capture related but distinct things, and requiring both is a confirmation rule that trades responsiveness for fewer false positives.
WHAT CONSENSUS IS, because every input here depends on it. A vendor-defined mean or median of the estimates that vendor includes, under its own contributor, staleness and exclusion rules. So a 'surprise' is only meaningful against the basis that produced the consensus, and two vendors' surprise figures are not interchangeable. Note also that in recent US large-cap samples beats have substantially outnumbered misses - expectation management, analyst incentives and revision patterns all contribute - so a beat is a weak signal on its own and the SIZE relative to typical dispersion is what carries information.
EPS AND REVENUE GROWTH TOGETHER is the right pairing. EPS can be raised by buybacks, cost cutting or one-off items without the business growing; revenue is harder to manufacture. Growth in both is a stronger statement than either alone, and EPS growth without revenue growth is a specific pattern worth recognising rather than a smaller version of the same thing.
THE ENRICHMENT WITH UPCOMING REPORT DATES is a useful addition and carries a caveat: earnings dates are frequently ESTIMATED before confirmation and can move by days.
RELATIVE STRENGTH included alongside is price momentum, which overlaps with revision momentum - analysts revise after price-moving news - so the two are not independent confirmations.
The weights and list length are our own convention.
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