Earnings surprise streak
✓ aliveEarningsStreakOther· Accounting data
Use fpi == 6 and only the last statpers for each anndats_act. Define surp = (actual - meanest)/price. Define a firm-anndats as a streak if surp has the same sign as the most recent surp observation. Keep only streaks. Then define signal = surp.
IS Sharpe (1984–2011)
1.884
+12.8% p.a.
OOS Sharpe (2012–2024)
1.248
+8.0% p.a.
Sharpe decay
+33.8%
(IS − OOS) / |IS|
IS vol
6.8%
annualized
Cumulative return (last 40 years, monthly)
+8035%1984-112024-12
Publication details
AuthorsLoh and Warachka
PaperLoh and Warachka (2012)
JournalManagement Science
Publication year2012
Original sample1987–2009
IS T-statistic9.51
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