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

Author(s)
Author(s)
Mak, K.-M.
Ng, C. K. C.
Date Issued
2004
Publisher
Routledge
Journal
Journal of Transnational Management Development
Volume
8
Issue
4
Start page
3
End page
17
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.
URI
DOI
SFU Affiliated Publication
No
Availability at SFU Library

No database links found.