Portfolio investment: ESP trading strategy in Hong Kong and in Singapore

Kwai-ming MAK, Yan Leung Stephen CHEUNG, Chris K. C. NG

Research output: Contribution to journalArticles

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 languageEnglish
Pages (from-to)3-17
JournalJournal of Transnational Management Development
Volume8
Issue number4
DOIs
Publication statusPublished - 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_02

Keywords

  • Earnings surprise predictor
  • Abnormal return estimates
  • Rank portfolios of stocks

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