Forecasting Earnings Surprise Using EPTech

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Forecasting Earnings Surprise Using EPTech
This paper introduces Earnings Prediction Technology (EPTech): an investment indicator based on big data that is correlated with consumption activity. Our research demonstrates that we can estimate the revenues of retailers during specific time intervals and extrapolate from this information to predict earnings surprise and therefore security returns around earnings announcements. Backtesting from 2009 – 2015 show cumulative risk adjusted returns over 300% based on the summation of each event return predicted. The implications of this research indicate the effectiveness of utilizing big data to forecast stock returns around earnings announcements.
By Research (white paper)
on 30 Aug 2015