Lead lag · Hou (2007)

Large-Peer Earnings Surprise

Average standardized earnings surprise of the largest 30% of firms by market equity in the same Fama-French 48 industry, assigned to the industry's smaller firms. Long high minus short low quintile portfolio of stocks above the NYSE 20th size percentile, value-weighted, re-sorted monthly, hedged each month with a rolling 5-year market beta from prior months only (β = −0.31 at the end of the sample). Quarterly, 1966Q3 to 2024Q4.

Predicted alphareturn · posterior mean, % per year, averaged over the window

Next quarter

2027Q1

3.10%

95% interval −0.78% to 6.94%

Next year

2027Q1–2027Q4

3.08%

95% interval −0.82% to 6.96%

Next five years

2027Q1–2031Q4

3.03%

95% interval −1.01% to 7.02%

Forecast made 1 Oct 2026, conditioning on this portfolio's returns, which end 2024Q4 with Open Source Asset Pricing's data for the signal (EarnSupBig). The 8 quarters between then and 2027Q1 are unobserved and are integrated out under the model.

Portfolio

Market hedge

Prior beliefsDefault

Half life of shocks to the edge

Long-run performance

Time variation in risk-adjusted returns

Quintile and decile portfolios are sorted each month over common stocks on the NYSE, AMEX and Nasdaq whose market value is above the NYSE 20th percentile, with breakpoints computed over those same stocks, so every signal is measured on one universe. Original paper is Open Source Asset Pricing's replication of the paper's own portfolio, with its sort, weighting, stock screens and rebalancing.

Cumulative market-hedged returnreturn, unhedged

+250% since 1966Q3 · log scale

Past performance, annualized

Window	AlphaReturn	Vol.	Info. ratioSharpe ratio	t-stat
1966Q3–2024Q4	3.33%	15.55%	0.21	1.64
2020Q1–2024Q4	9.93%	11.81%	0.84	1.88
2024Q1–2024Q4	4.11%	3.92%	1.05	1.05
1966Q3–2024Q4	3.68%	15.30%	0.24	1.84
2020Q1–2024Q4	15.98%	13.23%	1.21	2.70
2024Q1–2024Q4	8.12%	2.14%	3.79	3.79
1966Q3–2024Q4	2.90%	17.01%	0.17	1.30
2020Q1–2024Q4	9.89%	19.54%	0.51	1.13
2024Q1–2024Q4	7.66%	7.80%	0.98	0.98
1966Q3–2024Q4	3.90%	17.60%	0.22	1.69
2020Q1–2024Q4	20.82%	22.31%	0.93	2.09
2024Q1–2024Q4	15.75%	2.33%	6.76	6.76
1966Q3–2024Q4	5.69%	13.07%	0.44	3.33
2020Q1–2024Q4	25.05%	17.30%	1.45	3.24
2024Q1–2024Q4	17.35%	15.15%	1.14	1.14
1963Q3–2024Q4	3.61%	15.42%	0.23	1.84
2020Q1–2024Q4	6.39%	12.53%	0.51	1.14
2024Q1–2024Q4	0.11%	2.56%	0.04	0.04
1963Q3–2024Q4	4.02%	15.12%	0.27	2.08
2020Q1–2024Q4	12.79%	13.94%	0.92	2.05
2024Q1–2024Q4	5.04%	2.44%	2.06	2.06
1963Q3–2024Q4	3.39%	17.08%	0.20	1.56
2020Q1–2024Q4	5.90%	19.27%	0.31	0.68
2024Q1–2024Q4	3.91%	7.18%	0.55	0.55
1963Q3–2024Q4	4.26%	17.61%	0.24	1.90
2020Q1–2024Q4	16.38%	22.64%	0.72	1.62
2024Q1–2024Q4	12.14%	2.52%	4.83	4.83
1963Q3–2024Q4	5.62%	12.77%	0.44	3.45
2020Q1–2024Q4	20.69%	18.60%	1.11	2.49
2024Q1–2024Q4	13.52%	15.09%	0.90	0.90
1963Q3–2024Q4	3.04%	15.65%	0.19	1.52
2020Q1–2024Q4	5.39%	13.82%	0.39	0.87
2024Q1–2024Q4	−1.36%	2.14%	−0.63	−0.63
1963Q3–2024Q4	3.73%	15.22%	0.24	1.92
2020Q1–2024Q4	12.27%	14.43%	0.85	1.90
2024Q1–2024Q4	4.28%	2.59%	1.65	1.65
1963Q3–2024Q4	2.45%	17.22%	0.14	1.11
2020Q1–2024Q4	4.34%	20.92%	0.21	0.46
2024Q1–2024Q4	1.52%	6.82%	0.22	0.22
1963Q3–2024Q4	3.58%	17.73%	0.20	1.58
2020Q1–2024Q4	15.23%	23.70%	0.64	1.44
2024Q1–2024Q4	10.39%	2.86%	3.63	3.63
1963Q3–2024Q4	5.33%	12.87%	0.41	3.25
2020Q1–2024Q4	20.17%	19.06%	1.06	2.37
2024Q1–2024Q4	12.77%	15.11%	0.85	0.85

Forecast information ratioSharpe ratio, annualized

Window	Mean	95% interval	P(neg)
2027Q1	0.20	−0.05 – 0.45	0.06
2027Q1–2027Q4	0.20	−0.05 – 0.44	0.06
2027Q1–2031Q4	0.18	−0.06 – 0.42	0.07
Prior changed from site default.
2027Q1	0.25	−0.01 – 0.52	0.03
2027Q1–2027Q4	0.24	−0.01 – 0.50	0.03
2027Q1–2031Q4	0.22	−0.02 – 0.46	0.04
Prior changed from site default.
2027Q1	0.16	−0.09 – 0.40	0.10
2027Q1–2027Q4	0.16	−0.09 – 0.40	0.10
2027Q1–2031Q4	0.15	−0.09 – 0.40	0.11
Prior changed from site default.
2027Q1	0.23	−0.03 – 0.52	0.04
2027Q1–2027Q4	0.23	−0.03 – 0.50	0.04
2027Q1–2031Q4	0.21	−0.03 – 0.46	0.04
Prior changed from site default.
2027Q1	0.52	0.19 – 0.97	<0.01
2027Q1–2027Q4	0.50	0.19 – 0.88	<0.01
2027Q1–2031Q4	0.43	0.17 – 0.67	<0.01
Prior changed from site default.
2027Q1	0.20	−0.04 – 0.44	0.05
2027Q1–2027Q4	0.20	−0.05 – 0.44	0.06
2027Q1–2031Q4	0.19	−0.05 – 0.43	0.06
Prior changed from site default.
2027Q1	0.26	0.01 – 0.51	0.02
2027Q1–2027Q4	0.25	0.01 – 0.49	0.02
2027Q1–2031Q4	0.24	<0.01 – 0.47	0.02
Prior changed from site default.
2027Q1	0.17	−0.06 – 0.41	0.07
2027Q1–2027Q4	0.18	−0.06 – 0.42	0.07
2027Q1–2031Q4	0.18	−0.06 – 0.42	0.08
Prior changed from site default.
2027Q1	0.23	−0.01 – 0.48	0.03
2027Q1–2027Q4	0.23	−0.01 – 0.47	0.03
2027Q1–2031Q4	0.23	−0.01 – 0.46	0.03
Prior changed from site default.
2027Q1	0.45	0.18 – 0.79	<0.01
2027Q1–2027Q4	0.45	0.19 – 0.74	<0.01
2027Q1–2031Q4	0.42	0.18 – 0.66	<0.01
Prior changed from site default.
2027Q1	0.16	−0.09 – 0.41	0.10
2027Q1–2027Q4	0.16	−0.09 – 0.40	0.10
2027Q1–2031Q4	0.15	−0.09 – 0.39	0.11
Prior changed from site default.
2027Q1	0.24	−0.01 – 0.49	0.03
2027Q1–2027Q4	0.23	−0.01 – 0.47	0.03
2027Q1–2031Q4	0.22	−0.02 – 0.45	0.04
Prior changed from site default.
2027Q1	0.12	−0.12 – 0.36	0.16
2027Q1–2027Q4	0.12	−0.12 – 0.36	0.16
2027Q1–2031Q4	0.12	−0.12 – 0.36	0.16
Prior changed from site default.
2027Q1	0.19	−0.04 – 0.44	0.05
2027Q1–2027Q4	0.19	−0.05 – 0.44	0.05
2027Q1–2031Q4	0.19	−0.05 – 0.42	0.06
Prior changed from site default.
2027Q1	0.42	0.16 – 0.75	<0.01
2027Q1–2027Q4	0.42	0.16 – 0.71	<0.01
2027Q1–2031Q4	0.40	0.15 – 0.64	<0.01
Prior changed from site default.

Closest tradable stand-in

No close one. Every one of the ~870 ETFs that traded throughout 2020–2024, and every pair of them, was searched. The best held a correlation of only 0.16 on data that had no say in picking it, under the 0.50 this page treats as a resemblance. Whatever this signal sorts on, no listed fund holds it as an exposure.