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The effect of the movement in 52-week high on momentum profit : the evidence from Taiwan
Liao, Li-Chuan; Chang, Tzu-pu; Wang, Ping-Huang - In: International journal of business and economic sciences … 16 (2023) 1, pp. 71-86
influences the profitability of the original 52-week high momentum strategy. Design/methodology/approach: This paper decomposes … employ a portfolio approach and Fama-MacBeth regression analysis to investigate the profitability of each proposed momentum … original 52-week high measure can increases (decreases) the momentum profit, implying that the updating component dominates the …
Persistent link: https://www.econbiz.de/10014419592
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Predictability of earnings and its impact on stock returns : evidence from India
Kundu, Sayantan; Banerjee, Aditya - In: Cogent economics & finance 9 (2021) 1, pp. 1-24
The purpose of this paper is to analyse the predictability of earnings information before the quarterly disclosure date. Two categories of firms are contrasted: the firms that announce better quarterly earnings than the prior period and the firms that do not. The paper uses a sample of 67...
Persistent link: https://www.econbiz.de/10013183853
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Investor reaction to strategic emphasis on earnings numbers : an empirical study
Sadique, M. Shibley; Rahman, M. Arifur - In: Contemporary economics 7 (2013) 3, pp. 51-64
We analyze the earnings information and stock prices of S&P500 firms and find that investors following S&P500 stocks (i) respond more to pro forma earnings than to GAAP earnings, (ii) respond to an emphasis on pro forma earnings, and (iii) are fixated on pro forma earnings. We provide the first...
Persistent link: https://www.econbiz.de/10010228506
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Analysts' disagreement, self-selection, and stock returns
Wu, Liang; Long, Yunshen; Li, Wenyue; Wu, Bingyan - In: Journal of business economics and management 24 (2023) 1, pp. 37-53
Two ex-ante variables are introduced to characterize the analysts' biased behavior, namely the analysts' disagreement and self-selection in analysts' earnings forecasts. The study investigates the impact of the analysts' disagreement and self-selection on the stock returns. A theoretical...
Persistent link: https://www.econbiz.de/10014330637
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The effect of short-term return reversals on momentum profits
Sim, Myounghwa; Kim, Hee-Eun - In: Journal of derivatives and quantitative studies 29 (2021) 3, pp. 174-189
of momentum profitability arises primarily from a carryover of the return reversal from the previous two months. …
Persistent link: https://www.econbiz.de/10012658720
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Stock price forecast accuracy and recommendation profitability of financial magazines
Tiberius, Victor; Lisiecki, Laura - In: International Journal of Financial Studies : open … 7 (2019) 4/58, pp. 1-8
In this study, we analyze the forecast accuracy and profitability of buy recommendations published in five major German … recommendation profitability slightly exceeds the performance of the MSCI World index. Considering the involved risk, which is …
Persistent link: https://www.econbiz.de/10012150526
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Post-earning announcement drift and value-glamour anomalies in NSE listed firms
Gupta, Pankaj Kumar; Dhusia, Devendra Kumar - In: Trends economics and management 15 (2021) 37, pp. 27-42
Purpose of the article: Of the various market anomalies, the Value-Glamour anomaly and Post-Earnings Announcement Drifts (PEAD) have consistently attracted the attention of researchers. Prior studies have established that the reaction of value stocks and glamour stocks to the earnings...
Persistent link: https://www.econbiz.de/10012606896
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Impact of earnings smoothness on stock prices, stock returns and future earnings changes : the Polish experience
Welc, Jacek - In: European financial and accounting journal : EFAJ 9 (2014) 3, pp. 67-94
Capital markets appreciate stability. It means that companies reporting smooth earnings patterns tend to be priced relatively high. However, the empirical issue is whether such valuation premiums for earnings smoothness are justified. We examine the relationships between past five-year earnings...
Persistent link: https://www.econbiz.de/10011460570
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Paper profits from value, size and momentum : Evidence from the Polish market
Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69
In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...
Persistent link: https://www.econbiz.de/10011455379
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
The primary objective of the study is to examine the impact of political news (good and bad news) on the returns and volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main sample was divided into two subperiods to insulate the...
Persistent link: https://www.econbiz.de/10012131511