Standardized Unexpected Earnings (SUE)
factor.formula
Standardized Unexpected Earnings (SUE) =
Earnings Surprise (UE) =
in:
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Standardized Unexpected Earnings.
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Unexpected Earnings for the current quarter t is the difference between actual earnings per share and market expected earnings per share.
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The standard deviation of earnings surprises (UE) over the past eight quarters (including the current quarter) measures the volatility of corporate earnings estimate deviations.
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Actual earnings per share for the current quarter t (Earnings Per Share).
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The market's expected earnings per share for the current quarter t (Expected Earnings Per Share).
factor.explanation
Standardized earnings surprise (SUE) is a classic indicator for measuring the Post-Earnings Announcement Drift (PEAD) effect. This effect means that when a company's actual earnings are significantly higher (or lower) than market expectations, its stock price will continue to have positive (or negative) excess returns for a period of time after the earnings announcement (usually 3-6 months). SUE can be used to identify investment opportunities brought about by such earnings surprises. A high SUE value usually indicates potential upside for stock prices, and vice versa. It should be noted that the effectiveness of SUE may be affected by multiple factors such as market sentiment, industry characteristics, and company specific circumstances, and should not be used as a single basis for investment decisions.