ForecastGrowth
Forecast Profit Growth — Chan Jegadeesh and Lakonishok 1996
Earnings Quality
Quick facts
| Factor ID | ForecastGrowth |
| Display name | Forecast Profit Growth |
| Family | Predictor |
| Category | Earnings Quality |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Chan Jegadeesh and Lakonishok 1996 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2010-02-26 – 2026-04-30 · 91,000 rows · 13.3% of panel |
Formula
p_change_max from earnings guidance
China adaptation
Maximum expected profit change from management guidance.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 133 |
| Monthly mean | -0.3860% |
| Monthly std | 9.8749% |
| Annualized Sharpe | -0.14 |
| t-stat (simple) | -0.45 |
| Hit rate (months > 0) | 53.4% |
| Last 12M compounded | 6.21% |
| Cumulative wealth (start = 1) | 0.254 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2024-01 | +1.80% | 0.244 | 2725 |
| 2024-03 | +5.65% | 0.257 | 46 |
| 2024-04 | +8.36% | 0.279 | 252 |
| 2024-07 | -0.60% | 0.277 | 1654 |
| 2024-10 | +4.11% | 0.289 | 169 |
| 2025-01 | -6.27% | 0.271 | 2665 |
| 2025-03 | +3.11% | 0.279 | 40 |
| 2025-04 | -5.02% | 0.265 | 261 |
| 2025-07 | +6.27% | 0.282 | 1559 |
| 2025-10 | -7.80% | 0.260 | 123 |
| 2026-01 | +0.80% | 0.262 | 2802 |
| 2026-04 | -2.85% | 0.254 | 210 |
Known data issues
None recorded.
Notes
Extreme values common; winsorization recommended.
See also: Earnings Quality family, Factor library, Factor returns.