Abstract
This study evaluates the performance of an ESP (Earnings Surprise Predictor) trading model in the stock markets of Hong Kong and Singapore during the decade ending year 2000, using I/B/E/S data on forecasted earnings and actual profits of publicly-listed firms. Previous studies have demonstrated that correct estimation of the forthcoming corporate earnings announcements yields an abnormal return in the US market. This study examines the excess return obtainable in Hong Kong and in Singapore from ex ante portfolios formed for the years 1991–2000. Results demonstrate trading profits after transaction costs in applying the trading model in both markets. Copyright © 2003 Taylor & Francis Group, LLC.
| Original language | English |
|---|---|
| Pages (from-to) | 3-17 |
| Journal | Journal of Transnational Management Development |
| Volume | 8 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 2004 |
Citation
Mak, K.-M., Cheung, Y.-L., & Ng, C. K. C. (2004). Portfolio investment: ESP trading strategy in Hong Kong and in Singapore. Journal of Transnational Management Development, 8(4), 3-17. doi: 10.1300/J130v08n04_02Keywords
- Earnings surprise predictor
- Abnormal return estimates
- Rank portfolios of stocks