Swas - Ceta Research (Page 33)

Analyst revision CAR at T+63 on XETRA split by company domicile. US-domiciled listings gain 1.48% after upgrades and 0.65% after downgrades against the DAX. German companies fall after both.

analyst ratings

The German Analyst Upgrade Drift Was Netflix and Apple

We reported that German stocks drift +1.63% above the DAX after analyst upgrades. Then we checked the universe: only 1.5% of the events were German companies. 88% were US mega-caps' Frankfurt listings scored against a German index, and they drifted up after downgrades too. This is the correction.

CAR after analyst upgrades on US stocks. Clustered upgrades reach +0.31% at T+21. Single upgrades fall to -0.47%. Downgrades -0.53% at T+63. All measured from next-day-close entry.

analyst ratings

Do Analyst Upgrades Actually Move Stock Prices? We Measured 61,410 of Them

We ran an event study on 61,410 analyst upgrades on US stocks, 2012 to 2025. The move happens on announcement day. What survives needs no benchmark: one month on, stocks upgraded by two or more firms are up 1.82% against 1.05% for single-analyst upgrades. A 0.77 point gap.

Share of analyst events by company domicile on four exchanges, and the CAR for US-domiciled listings after upgrades and after downgrades against each local index.

analyst ratings

We Found Analyst Upgrade Drift in Four Markets. Three of Them Were an Artifact.

We measured 180,658 analyst revisions across five markets and found European upgrade drift that looked strong. It was foreign secondary listings scored against a local index: XETRA is 88% US-domiciled, the LSE 86%. The tell was that downgraded stocks also beat the index.

Analyst revision CAR at T+63 on the LSE split by company domicile. US-domiciled listings gain after both upgrades and downgrades against the FTSE 100.

analyst ratings

The UK Analyst Upgrade Drift Was Mostly American Companies

We reported +1.09% upgrade drift against the FTSE 100 on LSE stocks. Then we checked the universe: 85.7% of the events are US-domiciled companies and only 6.2% are British. For UK companies the one-month drift is 0.008%, which is zero. This is the correction.

Growth of $10,000 invested in Revenue Surprise Momentum vs S&P 500 from 2000 to 2025. Strategy grew to $167,028, S&P 500 to $72,829.

Revenue Growth

We Backtested Revenue Surprise Momentum on 25 Years of US Data

Companies that beat quarterly revenue estimates outperformed by 3.5% annually. We tested this on 25 years of US stocks: 11.55% CAGR vs 8.02% for SPY, with 85% down capture.

Revenue Surprise CAGR vs local benchmark by exchange (2000–2025). US and UK show positive excess, Canada lands level with its index, and the remaining six trail their local benchmark.

Revenue Growth

Revenue Surprise Momentum Across 9 Exchanges: What Local Benchmarks Reveal

We tested revenue surprise momentum on 9 exchanges using local benchmarks. US: +3.54% excess vs the S&P 500. UK: +2.38% vs the FTSE 100, on a 10-stock portfolio. India looks good in absolute terms but trails the Sensex by 2.41% a year.

We Tested Revenue Market Share Gainers in 15 Markets. Only One Beat the Benchmark.

quantitative-research

We Tested Revenue Market Share Gainers in 15 Markets. Four Beat Their Local Benchmarks.

We backtested sector-relative revenue growth across 15 exchanges from 2000 to 2024. Switzerland (+4.50%), UK (+4.09%) and Canada (+2.73%) beat their local benchmarks. India, which looked like a winner vs SPY, underperforms the Sensex by -2.72%.

Revenue Market Share Gainers in the UK: 5.6% CAGR, 52% Win Rate

quantitative-research

Revenue Market Share Gainers in the UK: Beats FTSE 100 by 4.1% per Year

UK market-share gainers returned 5.31% CAGR over 25 years, beating the FTSE 100 by +4.09% annually with a 56% win rate. The FTSE 100 returned just 1.23% CAGR (price-only) — in a stagnant market, the revenue growth signal finds the winners.

Revenue Market Share Gainers in India: +11.8% CAGR Over 25 Years

quantitative-research

Revenue Market Share Gainers in India: Good Returns, Not Alpha

The India market share signal returned 9.33% CAGR over 25 years. The Sensex returned 12.06%. The outperformance vs SPY was India's bull market, not the signal.

Revenue Market Share Gainers in Switzerland: Highest Sharpe, Still Underperforms

quantitative-research

Revenue Market Share Gainers in Switzerland: Beats Local Benchmark by 4.5% per Year

Swiss market-share gainers returned 6.24% CAGR over 25 years, beating the SMI by +4.50% annually with a 72% win rate and 40% down capture. The SMI returned just 1.74% CAGR (price-only) — a low hurdle the signal clears consistently.

Revenue Market Share Gainers in Germany: 3.5% CAGR, Always Invested

quantitative-research

Revenue Market Share Gainers in Germany: 3.7% CAGR vs Total-Return DAX

German market-share gainers returned 3.71% annually across 25 years, trailing the total-return DAX by 1.33% per year. The signal finds stocks consistently — the headwind is Germany's cyclical sector structure and the DAX's dividend reinvestment benchmark.

Revenue Market Share Gainers in Canada: 6.7% CAGR, Best Drawdown Control

quantitative-research

Revenue Market Share Gainers in Canada: +2.73% Annual Edge Over TSX

Canadian market-share gainers returned 6.68% annually vs the TSX Composite's 3.95%, a +2.73% edge per year. 60% win rate, max drawdown of -26.62%, and a down capture of 55.06% vs the local benchmark.