EarningsSurprise
Standardized Unexpected Earnings — Foster Olsen and Shevlin 1984
Earnings Quality
Quick facts
| Factor ID | EarningsSurprise |
| Display name | Standardized Unexpected Earnings |
| Family | Predictor |
| Category | Earnings Quality |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Foster Olsen and Shevlin 1984 |
| Source tables | fina_indicator |
| Required fields | eps;report_period |
| PIT required | yes |
| Coverage | 2013-01-29 – 2026-05-15 · 489,708 rows · 71.5% of panel |
Formula
(eps_q - eps_q-4) / std(eps_q - eps_q-4 over 8q)
Seasonal random walk earnings surprise standardized by its rolling 8-quarter standard deviation.
China adaptation
Uses Tushare fina_indicator eps field; drift term simplified to zero for the initial implementation.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 159 |
| Monthly mean | 0.3693% |
| Monthly std | 2.3258% |
| Annualized Sharpe | 0.55 |
| t-stat (simple) | 2.00 |
| Hit rate (months > 0) | 59.7% |
| Last 12M compounded | 9.22% |
| Cumulative wealth (start = 1) | 1.722 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2025-05 | +1.05% | 1.593 | 4531 |
| 2025-06 | +1.55% | 1.618 | 4536 |
| 2025-07 | +2.09% | 1.652 | 4531 |
| 2025-08 | +1.23% | 1.672 | 4638 |
| 2025-09 | -1.03% | 1.655 | 4644 |
| 2025-10 | -3.81% | 1.592 | 4729 |
| 2025-11 | +4.34% | 1.661 | 4728 |
| 2025-12 | +2.34% | 1.700 | 4727 |
| 2026-01 | -0.32% | 1.694 | 4722 |
| 2026-02 | -1.67% | 1.666 | 4722 |
| 2026-03 | +1.66% | 1.694 | 4734 |
| 2026-04 | +1.68% | 1.722 | 4805 |
Known data issues
EPS field from fina_indicator may differ from diluted EPS used in some papers.
Notes
Post-earnings announcement drift is one of the most robust anomalies globally.
See also: Earnings Quality family, Factor library, Factor returns.