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Aggregate Earnings and Expected Stock Returns in Emerging Markets

Demirtas, K. Ozgur - 2012

This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing...

Persistent link: https://www.econbiz.de/10013115711

Stock Market Overreaction to Management Earnings Forecasts

Michel, Jean-Sebastien - 2014

I hypothesize that the stock market overreacts to management earnings forecasts because of the uncertainty surrounding them. I find that negative management forecast surprises lead to a –5.9% abnormal return around the forecast and a 1.9% correction in the 2-month period after earnings are...

Persistent link: https://www.econbiz.de/10013063187

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

When Are Extreme Daily Returns Not Lottery? At Earnings Announcements!

Nguyen, Harvey - 2019

Using a sample of U.S. stocks over the period 1973–2015, we find that quarterly earnings announcements account for more than 18% of the total maximum daily returns in the top MAX portfolio. Maximum daily returns as triggered by earnings announcements do not entail lower future returns. Both...

Persistent link: https://www.econbiz.de/10012858203

Can the variance after-effect distort stock returns?

Berrada, Tony - 2021

Variance after-effect is a perceptual bias in the dynamic assessment of variance. Experimental evidence shows that perceived variance is decreased after prolonged exposure to high variance and increased after exposure to low variance. We introduce this effect in an otherwise standard financial...

Persistent link: https://www.econbiz.de/10012487731

What Drives the Profitability of Momentum Strategies?

Conlon, Thomas - 2017

We study the predictability of exchange rates of currencies of emerging and developed economies from 1994 to 2016 to shed light on the efficiency of currency markets and how it evolved over this time. For the currencies of emerging economies, our analysis of futures returns finds some evidence...

Persistent link: https://www.econbiz.de/10012964258

Does Economic Value Added (EVA) Improve Stock Performance Profitability?

Ferguson, Robert - 2013

stock performance (i.e., poor profitability) and whether adopting EVA leads to better stock performance (i.e., greater … profitability). There is insufficient evidence to conclude that poor stock performance leads firms to adopt EVA or that adopting EVA … improves stock performance. Firms that adopt EVA appear to have above average profitability relative to their peers both before …

Persistent link: https://www.econbiz.de/10013075023

An Interpretation of Carry Trade Profitability

Xanthopoulos, Apostolos - 2013

The forward premium anomaly has served as the theoretical foundation of positive returns from currency speculation. Nonlinearity in the relation of currency returns and interest rate differentials should be included in speculator expectations. Within narrow ranges, the counteracting effects of...

Persistent link: https://www.econbiz.de/10013078817

Does sentiment-based trading strategy yield profits?

Kim, Karam; Ryu, Doojin; Yu, Jinyoung - 2022

This study examines whether sentiment indices predict individual firms’ stock returns and evaluates the performances of sentiment-based trading strategies. Both the sentiment indices constructed using the principal component analysis (PCA) and overnight stock returns positively predict stock...

Persistent link: https://www.econbiz.de/10013301443

Profitability, R&D Investments and the Cross-Section of Stock Returns

Maletic, Matjaz - 2018

In this paper, after controlling for the level of R&D expenditures, I find that profitability of R&D intensive firms is …&D-to-market value variable becomes insignificant even when not controlling for the firm's profitability. Since quarterly profits are … lower not higher subsequent returns, once I control for the level of R&D expenditures and firm's profitability. The …

Persistent link: https://www.econbiz.de/10012919287