Investing Research Articles

Are readily available crowdsourced firm earnings estimates and stock sentiment measurements exploitable? In the September 2015 revision of their paper entitled “Tweet Sentiments and Crowd-Sourced Earnings Estimates as Valuable Sources of Information Around Earnings Releases”, Jim Kyung-Soo Liew,  Shenghan Guo and Tongli Zhang investigate whether earnings estimates from Estimize and sentiment measurements from iSentium usefully predict stock behavior after earnings announcements. Estimize aggregates inputs… Keep Reading

…investors may be able to generate substantial abnormal returns by combining the effects of earnings and accruals surprises, qualified by overall firm operating performance.

…investors appear to overreact systematically in projecting a firm’s earnings results to the near-term earnings announcements of peer companies.

Do strongly accelerating firm earnings identify future outperforming stocks? In the October 2017 revision of their paper entitled “Earnings Acceleration and Stock Returns”, Shuoyuan He and Ganapathi Narayanamoorthy investigate the power of earnings acceleration (quarter-over-quarter change in earnings growth, which is year-over-year change in quarterly earnings) to predict abnormal stock returns. They test a hedged trading strategy that… Keep Reading

Are firm earnings announcements bound to confound stock traders? In their November 2011 paper entitled “Systematic Noise and News-Driven Return Reversals”, Eric So and Sean Wang examine trading behavior around quarterly earnings announcements. They define pre-announcement return as the market-adjusted return over a three-day window from five days before through three days before earnings announcement… Keep Reading

…evidence indicates that positive (negative) aggregate earnings surprises portend higher (lower) future inflation/discount rates, and therefore negative (positive) future stock market returns and increases (decreases) in bond yields.

Can investors quickly exploit surprising after-hours firm earnings/revenue announcements by trading after hours? In the January 2014 version of his paper entitled “Slow Price Adjustment to Public News in After-Hours Trading”, Jiasun Li investigates after-hours (4:00 pm to 8:00 pm) responses of stock prices to surprising after-hours quarterly earnings announcements. He defines a positive (negative) surprise as neither revenue nor… Keep Reading

Do stocks of firms that initiate buybacks (open market stock repurchases) tend to appreciate due to elevated takeover risk? In the October 2013 draft of their paper entitled “The Timing and Source of Long-run Returns Following Repurchases”, Leonce Bargeron, Alice Bonaime and Shawn Thomas investigate the timing and source of the abnormal return associated with… Keep Reading

…earnings acceleration helps explain stock returns, most notably when it amplifies the direction of earnings growth (both positive or both negative).

Do investors fixate on price-to-earnings ratio (P/E) and thereby create trading opportunities as P/Es change? In his June 2017 paper entitled “P/E Ratios and Value Investor Attention”, Jordan Moore examines market responses to U.S. common stocks sorted by earnings yield (inverse of P/E). He defines P/E as the ratio of stock price to the sum… Keep Reading