Earnings Announcements Are Full Of Surprises PDF Download
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| Author | : Runeet Kishore |
| Publisher | : |
| Total Pages | : 37 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Earnings Announcements are Full of Surprises Book in PDF, ePub and Kindle
We study the drift in returns of portfolios formed on the basis of the stock price reaction around earnings announcements. The Earnings Announcement Return (EAR) captures the market reaction to unexpected information contained in the company's earnings release. Besides the actual earnings news, this includes unexpected information about sales, margins, investment, and other less tangible information communicated round the earnings announcement. A strategy that buys and sells companies sorted on EAR produces an average abnormal return of 7.55% per year, 1.3%more than a strategy based on the traditional measure of earnings surprise, SUE. The post earnings announcement drift for EAR strategy is stronger than post earnings announcement drift for SUE. More importantly, unlike SUE, the EAR strategy returns do not show a reversal after 3 quarters. The EAR and SUE strategies appear to be independent of each other. A strategy that exploits both pieces of information generates abnormal returns of about 12.5% on an annual basis.
| Author | : Cintia M. Easterwood |
| Publisher | : |
| Total Pages | : 30 |
| Release | : 1996 |
| Genre | : Consolidation and merger of corporations |
| ISBN | : |
Download Earnings Surprises and the Market Reaction to Earnings Announcements by Takeover Targets Book in PDF, ePub and Kindle
| Author | : John Shon |
| Publisher | : FT Press |
| Total Pages | : 225 |
| Release | : 2011-03-09 |
| Genre | : Business & Economics |
| ISBN | : 0132615851 |
Download Trading on Corporate Earnings News Book in PDF, ePub and Kindle
Profit from earnings announcements, by taking targeted, short-term option positions explicitly timed to exploit them! Based on rigorous research and huge data sets, this book identifies the specific earnings-announcement trades most likely to yield profits, and teaches how to make these trades—in plain English, with real examples! Trading on Corporate Earnings News is the first practical, hands-on guide to profiting from earnings announcements. Writing for investors and traders at all experience levels, the authors show how to take targeted, short-term option positions that are explicitly timed to exploit the information in companies’ quarterly earnings announcements. They first present powerful findings of cutting-edge studies that have examined market reactions to quarterly earnings announcements, regularities of earnings surprises, and option trading around corporate events. Drawing on enormous data sets, they identify the types of earnings-announcement trades most likely to yield profits, based on the predictable impacts of variables such as firm size, visibility, past performance, analyst coverage, forecast dispersion, volatility, and the impact of restructurings and acquisitions. Next, they provide real examples of individual stocks–and, in some cases, conduct large sample tests–to guide investors in taking advantage of these documented regularities. Finally, they discuss crucial nuances and pitfalls that can powerfully impact performance.
| Author | : Joshua Livnat |
| Publisher | : |
| Total Pages | : 39 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Post-Earnings-Announcement Drift Book in PDF, ePub and Kindle
This study explores an additional factor that is associated with differential levels of the post-earnings-announcement drift (henceforth drift) - the contemporaneous surprise in revenues. Consistent with prior evidence about greater persistence of revenues and greater noise caused by heterogeneity of expenses, this study shows that the earnings drift is stronger when the revenue surprise is in the same direction as the earnings surprise. Moreover, the study provides direct evidence that the drift is stronger when the earnings persistence is greater. The results are robust to various controls, including the proportions of stock held by institutional investors, trading liquidity, and arbitrage risk.
| Author | : Katrina Ellis |
| Publisher | : |
| Total Pages | : 25 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download Expecting to Be Surprised Book in PDF, ePub and Kindle
It has been well-documented that prices respond quickly, if not completely, to the information in quarterly earnings announcements. In this paper we show that after conditioning on past earnings surprises, companies that meet analyst expectations have positive (negative) returns following a prior negative (positive) surprise. We attribute this price response to investors expecting to be surprised, in that they expect past earnings surprises to continue into the future. As meeting expectations is a reversal of the surprise trend, the investors react to this new information by reversing the price trend. The price response to meeting earnings forecasts appears to be due to investor overreaction, with subsequent returns undoing the overreaction.
| Author | : John Shon |
| Publisher | : Pearson Education |
| Total Pages | : 20 |
| Release | : 2011-03-16 |
| Genre | : Business & Economics |
| ISBN | : 0132659751 |
Download Why Investors Should Trade Options Around Earnings Announcements Book in PDF, ePub and Kindle
This Element is an excerpt from Trading on Corporate Earnings News: Profiting from Targeted, Short-Term Options Positions (9780137084920) by John Shon, Ph.D., and Ping Zhou, Ph.D. Available in print and digital formats. Two Line Description How to trade options before earning announcements — and profit whether the market raves or rages! Text Excerpt We’ve all seen perplexing market reactions to earnings announcements, but would you have guessed that this happens 40% of the time? Even if you predict the right direction of an earnings surprise, it’s still easy to lose money with a directional bet. So how can you profit from an earnings announcement? You use an options trading strategy called a “straddle.”
| Author | : Donald H. Fehrs |
| Publisher | : |
| Total Pages | : 19 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Earnings Surprises and the Options Market Book in PDF, ePub and Kindle
Numerous articles over the past few decades have documented a consistent relationship between earnings surprises and subsequent stock price performance. [See, for example, Ball and Brown (1968), Rendleman, Jones, and Latane (1982), Foster, Olsen, and Shevlin (1984), and Bernard and Thomas (1989).] Specifically when firms announce quarterly earnings figures that are higher (lower) than market expectations, as proxied by either mechanical time-series models or commercially available analysts forecasts, the stock price performance following the announcement tends to be abnormally good (bad). This phenomenon is referred to as post-earnings-announcement drift or the standardized unexpected earnings effect, SUE for short.
| Author | : Allen W. Bathke |
| Publisher | : |
| Total Pages | : 63 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Investor Overreaction to Earnings Surprises and Post-Earnings-Announcement Reversals Book in PDF, ePub and Kindle
Prior literature suggests that the market underreacts to the positive correlation in a typical firm's seasonal earnings changes, which leads to a post-earnings-announcement drift (PEAD) in prices. We examine the market reaction for a distinct set of firms whose seasonal earnings changes are uncorrelated and show that the market incorrectly assumes that the earnings changes of these firms are positively correlated. We also document that positive (negative) seasonal earnings changes in the current quarter are associated with negative (positive) abnormal returns in the following quarter. Thus, we observe a reversal of abnormal returns, consistent with a systematic overreaction to earnings, rather than the previously documented PEAD. Additional analysis indicates that financial analysts similarly overestimate the autocorrelation of these firms, although to a lesser extent. We also find that the magnitude of overestimation and the subsequent price reversal are inversely related to the richness of the information environment. Our results challenge the notion that investors recognize but consistently underestimate earnings correlation and provide a new perspective on the inability of prices to fully reflect the implications of current earnings for future earnings.
| Author | : Myung Chul Chung |
| Publisher | : |
| Total Pages | : 316 |
| Release | : 1991 |
| Genre | : Stock price forecasting |
| ISBN | : |
Download An Examination of the "systematic Post-announcement Drift" Anomaly Employing a Relative Measure of Earnings Surprises Book in PDF, ePub and Kindle
| Author | : Beverly R. Walther |
| Publisher | : |
| Total Pages | : 41 |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
Download Are Earnings Surprises Costly? Book in PDF, ePub and Kindle
We investigate potential costs experienced by firms that repeatedly have large quarterly earnings surprises during a condensed period of time. Consistent with our predictions, our univariate results indicate that surprise firms have lower analyst following, lower institutional ownership, and higher earnings-price ratios than firms that do not have large earnings surprises. Our multivariate findings, controlling for potentially confounding factors, are generally consistent with the univariate results, although our conclusions regarding institutional ownership are weaker. Further, our results generally hold regardless of whether the firm has positive surprises, negative surprises, or earnings surprises of mixed sign, suggesting that negative earnings surprises do not drive the results. Assuming that the documented differences represent a cost of earnings surprises, our findings provide an explanation for managers' desire to avoid surprising the market and their willingness to voluntarily disclose earnings-related information in advance of the mandated earnings announcement.
