26% annualized. No industry filter. Just analysts.

This paper shows that earnings announcements spill over hard to economically related firms — but only if you define “related” correctly.

• Using shared analyst coverage (not SIC or FF48),

• Peer stocks move with the focal firm’s earnings surprise,

• Producing a 0.29% return spread in just 3 days (≈26% annualized).

Even better:

• Prices don’t fully adjust immediately,

• Spillover drift continues for ~2 weeks,

• And effects are strongest where institutional ownership is high.

The punchline? Earnings don’t move industries — they move networks. And analysts quietly map those networks for you.

papers.ssrn.com/sol3/pa…