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Generating Abnormal Returns Using Crowdsourced Earnings Forecasts from Estimize

13 Pages Posted: 10 Oct 2013  

Leigh Adam Drogen

Independent

Vinesh Jha

Independent

Date Written: September 24, 2013

Abstract

In our paper, "Generating Abnormal Returns Using Crowdsourced Earnings Forecasts From Estimize" we examine consensus EPS and Revenue forecasts derived from the crowdsourced community Estimize, and find that they are more accurate than traditional Wall Street equity analysts’ consensus forecasts. We then design a profitable strategy which trades on earnings surprises as benchmarked against Estimize. Finally, we demonstrate that a strategy which exploits the differences between the Wall Street and Estimize expectations prior to earnings dates earns excess returns, particularly among large cap stocks.

Keywords: Analyst, Forecast, Earnings Response Coefficients, Buy-side

Suggested Citation

Drogen, Leigh Adam and Jha, Vinesh, Generating Abnormal Returns Using Crowdsourced Earnings Forecasts from Estimize (September 24, 2013). Available at SSRN: https://ssrn.com/abstract=2337709 or http://dx.doi.org/10.2139/ssrn.2337709

Leigh Adam Drogen (Contact Author)

Independent ( email )

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Vinesh Jha

Independent ( email )

No Address Available

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