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FactSet S&P 500 Earnings Growth Estimate Evolutions

Posted in Fundamental Valuation

A subscriber, citing the weekly record of S&P 500 earnings growth estimates in the "FactSet Earnings Insight" historical series", wondered whether estimate trends/revisions are exploitable. To investigate, we collect S&P 500 quarterly year-over-year earnings growth estimates as recorded in this series. These data are bottom-up (firm by firm) aggregates, whether purely from analyst estimates (before any actual earnings releases), or a blend of actual earnings and estimates (during the relevant earnings season). Using these data and contemporaneous weekly levels of the S&P 500 Index during April 2011 through late September 2018, we find that:

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