Factor ResearchEquities

Earnings Revision Momentum Decay in the Post-2023 Regime

Chen, A. · Patel, R.

June 2026

Abstract

We document that the classic earnings revision momentum factor has experienced significant decay since 2023, with optimal holding periods collapsing from 10 to 5 days. We propose a regime-conditioned variant that restores out-of-sample Sharpe to 1.62.

Method

We construct the earnings revision momentum factor from consensus analyst estimate changes across the Russell 3000 and evaluate decay in optimal holding periods on a rolling walk-forward basis.

Results

Optimal holding periods collapsed from 10 days (2019–2022) to 5 days (2023–2026). A regime-conditioned variant using realized dispersion as a gate restores out-of-sample Sharpe to 1.62.

BibTeX

@article{quanthq2026earnings,
  title={Earnings Revision Momentum Decay in the Post-2023 Regime},
  author={Chen, A. and Patel, R.},
  year={2026}
}