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dc.contributor.authorChudek, Mark
dc.contributor.authorTruong, Cameron
dc.contributor.authorVeeraraghavan, Madhu
dc.date.accessioned2018-03-29T03:59:14Z
dc.date.available2018-03-29T03:59:14Z
dc.date.issued2011
dc.identifier.issn1042-4431
dc.identifier.doi10.1016/j.intfin.2011.06.004
dc.identifier.urihttp://hdl.handle.net/10072/172412
dc.description.abstractThis study examines the profitability of trading on earnings surprises in the post-earnings announcement period for Canadian equities spanning the period 1994–2009. There is clear evidence that stock prices drift in the direction of earnings surprise for several months following an earnings announcement. Specifically, we find that standardized unexpected earnings based on analyst forecasts (SUEAF), our main definition of earnings surprise, indicates that a hedge strategy of going long on firms in the highest SUEAF decile and going short on firms in the lowest SUEAF decile generates a greater than 6% excess return in the 60 days following the earnings announcement. We also show that that while both the SUEAF and standardized unexpected earnings (SUE) capture earnings surprise, each contains information that is not entirely subsumed by the other. In summary, we advance that the post-earnings announcement drift is caused by the market's delay in responding to earnings information. Our findings have major investment implications, since investors in general and Canadian investors in particular can exploit this anomaly.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofpagefrom832
dc.relation.ispartofpageto850
dc.relation.ispartofissue5
dc.relation.ispartofjournalJournal of International Financial Markets, Institutions and Money
dc.relation.ispartofvolume21
dc.subject.fieldofresearchBanking, Finance and Investment not elsewhere classified
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode150299
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1502
dc.titleIs trading on earnings surprises a profitable strategy? Canadian evidence
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.hasfulltextNo Full Text
gro.griffith.authorVeeraraghavan, Madhu


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