ForecastSentiment
Earnings Forecast Sentiment — Jones Shi Zhang and Zhang 2025
Earnings Quality
Quick facts
| Factor ID | ForecastSentiment |
| Display name | Earnings Forecast Sentiment |
| Family | Predictor |
| Category | Earnings Quality |
| Direction | higher_expected_return |
| Status | supported |
| Paper | Jones Shi Zhang and Zhang 2025 |
| Source tables | — |
| Required fields | — |
| PIT required | no |
| Coverage | 2010-02-26 – 2026-04-30 · 97,573 rows · 14.2% of panel |
Formula
+1 for positive guidance (预增/扭亏/续盈/略增), -1 for negative
China adaptation
Uses Tushare forecast_vip earnings guidance type classification.
Direction-adjusted cumulative return
Return metrics
| Metric | Value |
|---|---|
| Months in sample | 141 |
| Monthly mean | 3.8923% |
| Monthly std | 15.5505% |
| Annualized Sharpe | 0.87 |
| t-stat (simple) | 2.97 |
| Hit rate (months > 0) | 61.7% |
| Last 12M compounded | -4.38% |
| Cumulative wealth (start = 1) | 58.323 |
Recent 12 months
| Month | L/S return | Cumulative | Names |
|---|---|---|---|
| 2024-01 | +1.57% | 61.948 | 2729 |
| 2024-03 | -0.56% | 61.603 | 54 |
| 2024-04 | +8.45% | 66.810 | 273 |
| 2024-07 | -0.18% | 66.687 | 1657 |
| 2024-10 | -2.78% | 64.834 | 170 |
| 2025-01 | -7.92% | 59.701 | 2667 |
| 2025-03 | +1.40% | 60.535 | 40 |
| 2025-04 | -3.12% | 58.643 | 262 |
| 2025-07 | +5.76% | 62.022 | 1561 |
| 2025-10 | -7.65% | 57.277 | 125 |
| 2026-01 | +0.17% | 57.373 | 2804 |
| 2026-04 | +1.66% | 58.323 | 210 |
Known data issues
None recorded.
Notes
Guidance is voluntary and may have selection bias.
See also: Earnings Quality family, Factor library, Factor returns.