Factors Directory

Quantitative Trading Factors

Analyst Expectation Factor

Emotional FactorsFundamental factors

factor.formula

The calculation formula for analyst earnings forecast consensus deviation (FOM) is as follows:

in:

  • :

    The total number of earnings forecast reports given by analysts for the current annual report performance of individual stocks. To ensure the reliability and timeliness of the forecast results, only forecast reports within 180 days (half a year) before the annual report announcement date are included, and the number of forecast reports N ≥ 3, otherwise the factor value is considered missing. This condition is intended to ensure the effectiveness and robustness of the factor calculation.

  • :

    The number of reports where the earnings per share (EPS) predicted by analysts is lower than the actual EPS announced. The larger the value, the more analysts generally underestimate the company's profitability.

  • :

    The number of reports where the earnings per share (EPS) predicted by analysts is higher than the actual EPS announced. The larger the value, the more analysts generally overestimate the company's profitability.

factor.explanation

The analyst earnings forecast consensus bias (FOM) factor aims to capture the overall bias direction of analysts' earnings forecasts for companies. The value range of this factor is between [-1, 1]. Specifically:

  • FOM close to 1: indicates that most analysts' earnings forecasts are lower than the company's actual earnings, which is usually interpreted by the market as performance exceeding expectations, reflecting that the market may underestimate the company's profitability, or the company has achieved unexpected growth during the reporting period.

  • FOM close to -1: indicates that most analysts' earnings forecasts are higher than the company's actual earnings, which is usually interpreted by the market as performance falling short of expectations, reflecting that the market may overestimate the company's profitability, or the company's earnings performance during the reporting period is not as expected.

  • FOM close to 0: indicates that the number of reports in which analysts' earnings forecasts are overestimated and underestimated is roughly equal, indicating that analysts have different judgments on the company's earnings, or the company's earnings performance is roughly in line with market expectations.

This factor can reveal the market's expected deviation from the company's performance and help identify potential market sentiment fluctuations and information asymmetry opportunities, thereby assisting investment decisions.

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