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Author: Beverly R. Walther Publisher: ISBN: Category : Languages : en Pages : 41
Book Description
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.
Author: Beverly R. Walther Publisher: ISBN: Category : Languages : en Pages : 41
Book Description
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.
Author: Michael B. Mikhail Publisher: ISBN: Category : Languages : en Pages :
Book Description
Controlling for other determinants of the cost of capital, we find that firms with repeated large earnings surprises experience a higher cost of equity capital. This finding holds regardless of the sign of the earnings surprises, but firms that consistently report negative surprises have relatively higher cost of equity capital. Although firms that frequently surprise the market experience a decrease in analyst following relative to no surprise firms, this reduction in monitoring cannot account for the higher cost of equity capital. Overall, these findings document that repeated earnings surprises are costly, and provide evidence that managers have incentives to avoid missing earnings targets.
Author: Janice Yun-Sheng Chen Publisher: ISBN: Category : Languages : en Pages : 98
Book Description
This dissertation examines the cost behavior model implicit in analysts' and investors' decisions. Even though a cost behavior model that recognizes fixed and variable costs and cost stickiness can provide more accurate earnings forecasts, analysts and investors cannot fully capture sticky cost information. Since analysts are not fully aware of the correct cost behavior model, earnings surprises can be largely explained by a cost model that recognizes sticky stickiness. Similarly, investors' under-reaction to sticky cost information relates to post-earnings announcement drifts. As a result, positive abnormal returns can be earned by a trading strategy that takes advantage of investors' lower awareness of sticky cost information.
Author: Leonard Zacks Publisher: John Wiley & Sons ISBN: 1118127765 Category : Business & Economics Languages : en Pages : 352
Book Description
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Author: W. Bruce Johnson Publisher: ISBN: Category : Languages : en Pages : 38
Book Description
We investigate the relation between earnings surprises and post-announcement stock returns for 1991-1997, and show that the profit opportunities previously associated with simple trading strategies designed to exploit the drift phenomenon have now been substantially eliminated. This profitability decline does not appear to be due to increased earnings quot;noisequot; from transitory items or to structural changes in the serial correlation of earnings surprises. The post-announcement drift persists where arbitrage costs are highest; that is, among small NYSE/AMEX firms, and among firms with little or no analyst following or with low stock prices. The evidence is consistent with the notion that investors used earnings surprise trading strategies to arbitrage the drift once the phenomenon had been well documented in academic research.
Author: Daniel Baumgarten Publisher: Springer Science & Business Media ISBN: 383494131X Category : Business & Economics Languages : en Pages : 124
Book Description
Understanding cost behavior is a fundamental element of cost accounting and the management of a firm. Deviating from the traditional assumption of symmetric cost behavior, numerous recent research studies show that costs are sticky, that is, they decrease less when sales fall than they increase when sales rise. Daniel Baumgarten comprehensively analyzes the cost stickiness phenomenon by discussing its development and all relevant findings presented in the research literature. Furthermore, he provides several suggestions for future research and discusses important implications of cost stickiness for fundamental analysis and analysts’ forecasts by means of two comprehensive empirical analyses.
Author: Kristina Reimer Publisher: Springer ISBN: 3658228229 Category : Business & Economics Languages : en Pages : 174
Book Description
The thesis of Kristina Reimer provides a comprehensive analysis of asymmetric cost behavior (also known as cost stickiness) by discussing its origin and development in the theoretical and empirical research from the 1920s of the past century up until today. Further, using an empirical approach, she investigates the implications of asymmetric cost behavior for credit and financial risk of a firm. In addition, she provides an introduction into credit risk fundamentals by focusing on credit default swaps. Thereby she analyses the development of credit default swap market as well as the components of credit spreads. Finally, she provides several suggestions for future research.
Author: CFA Institute Publisher: John Wiley & Sons ISBN: 1119789257 Category : Business & Economics Languages : en Pages : 503
Book Description
Discover the latest essential resource on equity portfolio management for students and investment professionals. Part of the CFA Institute's three-volume Portfolio Management in Practice series, Equity Portfolio Management offers a fuller treatment of active versus passive equity investment strategies. This text outlines key topics in the portfolio management process with clear, concise language to serve as an accessible guide for students and current industry professionals. Building on content in the Investment Management and Equity Valuation volumes in the CFA Institute Investment Series, Equity Portfolio Management provides an in-depth, technical examination of constructing and evaluating active equity methods. This volume explores: An overview of passive versus active equity strategies Market efficiency underpinnings of passive equity strategies Active equity strategies and developing portfolios to reflect active strategies Technical analysis as an additional consideration in executing active equity strategies To further enhance your understanding of the tools and techniques covered here, don't forget to pick up the Portfolio Management in Practice, Volume 3: Equity Portfolio Management Workbook. The workbook is the perfect companion resource containing Learning Outcomes, Summary Overview sections, and challenging practice questions that align chapter-by-chapter with the main text. Equity Portfolio Management alongside the other Portfolio Management in Practice volumesdistill the knowledge, skills, and abilities readers need to succeed in today’s fast-paced financial world.
Author: Beverly R. Walther
Author: Beverly R. Walther
Author: Eric H. Sorensen
Author: Michael B. Mikhail
Author: Janice Yun-Sheng Chen
Author: Jin-kyu Joo
Author: Leonard Zacks
Author: W. Bruce Johnson
Author: Daniel Baumgarten
Author: Kristina Reimer
Author: CFA Institute