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Top investment professionals around the globe use the Estimize consensus to benchmark their expectations against their peers, manage risk, and find alpha producing opportunities.
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The Quantitative Research Team - Deltix
This paper describes the implementation of an automated equity trading strategy based on aggregated company earnings estimates from independent, buy-side, and sell-side analysts, along with those of private investors and students. By sourcing estimates from a diverse community of individuals ("crowd-sourcing"), Estimize provides an alternative view of earnings expectations compared to traditional sell-side analysts.
Wang et al. - Deutsche Bank Markets Research
Our initial findings show that the more timely Estimize forecasts provide greater short-term accuracy when compared to IBES, while IBES estimates do a better job for longer-term forecasts. Specifically, we find Estimize is more accurate than IBES for estimates taken one-week before the announcement date, while the sell-side estimates from IBES show greater accuracy for estimates collected one-month prior to announcement. We find that the timelier Estimize forecasts can more accurately identify earnings surprise which results in a greater capture of the post earnings drift. We use this finding to construct a daily trading strategy that goes long the stocks that beat the Estimize consensus and short the stocks that miss.
Leigh Drogen and Vinesh Jha - Estimize, Inc.
In our paper, “Generating Abnormal Returns Using Crowdsourced Earnings Forecasts From Estimize” we examine consensus EPS and Revenue forecasts derived from the crowdsourced community Estimize, and find that they are more accurate than traditional Wall Street equity analysts’ consensus forecasts. We then design a profitable strategy which trades on earnings surprises as benchmarked against Estimize. Finally, we demonstrate that a strategy which exploits the differences between the Wall Street and Estimize expectations prior to earnings dates earns excess returns, particularly among large cap stocks.
Rick Johnson - Rice University
We examine new forecast data from buy-side and independent analysts collected by Estimize, an open crowdsourcing platform. We compare these forecasts to those of sell-side analysts covering the same firms, found on IBES. The results show that announcement-period stock returns are more strongly associated with the signed earnings surprise calculated using buy-side and independent (Estimize) forecasts. Our study also has potentially broader implications. Estimize as a crowdsourcing platform represents a market solution to the shortcomings associated with sell-side analyst forecasts perhaps resulting from their incentives. The application of technology to enhance the information environment of firms is innovative and possibly revolutionary.
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