Analyst Expectation Bias Factor
factor.formula
in:
- :
The total number of earnings forecast reports released by analysts within 180 days before the announcement of the performance report for the current annual report of the individual stock. To ensure the effectiveness of the factor, only forecast reports within half a year are included, and N≥3 is required; if N<3, the factor value is a missing value. This parameter reflects the degree of attention paid by analysts to the stock.
- :
The number of reports in which the net profit for the current year predicted by analysts is lower than the net profit actually announced by the company. This parameter reflects the extent to which analysts underestimate the company's performance.
- :
The number of reports in which the net profit of the current year predicted by analysts is higher than the net profit actually announced by the company. This parameter reflects the extent to which analysts overestimate the company's performance.
factor.explanation
This factor calculates the standardized degree of analyst forecast deviation, and its value range is [-1, 1]. When FOM is close to 1, it indicates that most analysts predict that the net profit is lower than the actual announced net profit, and the company's performance exceeds expectations to a high degree, which may trigger a positive market reaction; when FOM is close to -1, it indicates that most analysts predict that the net profit is higher than the actual announced net profit, and the company's performance is lower than expected, which may lead to a negative market reaction; when FOM is close to 0, it indicates that analysts' forecasts are high and low, and overall they are closer to the actual performance, and have less impact on the market. This factor can be used in quantitative investment strategies to capture potential investment opportunities brought about by performance exceeding expectations.