Download or read book Tests for Predicting Stock Price Reactions to Earnings Surprises written by Rabih Ali Moussawi and published by . This book was released on 2000 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Do Bright Line Earnings Surprises Really Affect Stock Price Reactions written by Jeffery S. Abarbanell and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Several influential studies have concluded that earnings surprises just to the right or to the left of a hypothesized bright line produce distinct price reactions compared to the surrounding earnings surprises because they convey special meaning. In this study, we examine whether previous inferences of asymmetric stock price reactions to bright-line surprises are observed when empirical tests are designed to be consistent with a rational expectations equilibrium. Focusing on a small range of earnings surprises around hypothesized bright lines, we find no evidence of asymmetric price reactions once investors' ex ante expectation of bias in earnings surprises is controlled. Results from additional tests yield support for the external validity of the theoretical framework underlying our bright-line pricing tests. Our findings suggest simple refinements to traditional bins-comparison and regression tests for asymmetric price reactions to bright-line earnings surprises, which account for necessary conditions implied by a rational expectations equilibrium.

Download or read book Trading on Corporate Earnings News written by John Shon and published by FT Press. This book was released on 2011-03-09 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Profit from earnings announcements, by taking targeted, short-term option positions explicitly timed to exploit them! Based on rigorous research and huge data sets, this book identifies the specific earnings-announcement trades most likely to yield profits, and teaches how to make these trades—in plain English, with real examples! Trading on Corporate Earnings News is the first practical, hands-on guide to profiting from earnings announcements. Writing for investors and traders at all experience levels, the authors show how to take targeted, short-term option positions that are explicitly timed to exploit the information in companies’ quarterly earnings announcements. They first present powerful findings of cutting-edge studies that have examined market reactions to quarterly earnings announcements, regularities of earnings surprises, and option trading around corporate events. Drawing on enormous data sets, they identify the types of earnings-announcement trades most likely to yield profits, based on the predictable impacts of variables such as firm size, visibility, past performance, analyst coverage, forecast dispersion, volatility, and the impact of restructurings and acquisitions. Next, they provide real examples of individual stocks–and, in some cases, conduct large sample tests–to guide investors in taking advantage of these documented regularities. Finally, they discuss crucial nuances and pitfalls that can powerfully impact performance.

Download or read book It Takes Two To Misprice written by Sahar Parsa and published by . This book was released on 2017 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: I study how investor horizons affect the price reaction of the stocks to earnings announcements. In the theory, short-run investors trade frequently, while long-run traders hold and trade on fundamentals. The model predicts that the reaction to an earnings announcement is shifted downward for stocks held short-term relative to those held long-term: a positive earnings surprise is less of a positive; a negative surprise is a larger negative. I test this prediction. I find that the reaction to earnings for ``short-term securities'' is dominated by the corresponding reaction for 'long-term securities.' The discrepancy persists over 75 days. These results are independent of security characteristics; they are robust to controls that capture various aspects of growth or value stocks.

Download or read book Small Trader Reactions to Consecutive Earnings Surprises written by Devin M. Shanthikumar and published by . This book was released on 2009 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several analytical models explain post-earnings-announcement drift, momentum and mean-reversion by making assumptions about investor behavior. They posit that investors react more strongly as a series of similar earnings surprises continues. Related literature suggests that behavior should vary systematically with investor sophistication. This paper tests these claims by analyzing whether traders on the NYSE exhibit increasing reactions to a series of similar earnings surprises, and whether their behavior varies with trade size, a proxy for sophistication. Results show that smaller traders exhibit an increasing reaction, with significant increases between the first, second, and third surprise. The pattern is weaker for larger trade-size groups, disappearing for the largest. Controls for prior returns show that small traders generally act as contrarians and large traders as momentum traders, strengthening the results. Future drift is weaker for each subsequent surprise in a series, suggesting that increasing reactions are not attempts to capitalize on increasing returns.

Download or read book Forecasting Volume and Price Impact of Earnings Surprises Using Google Insights written by Jedediah Baker and published by . This book was released on 2017 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the predictability of price and volume movements using Google Insights on equities exhibiting earnings surprise and the association with pre-announcement information searching. The motivation for this paper is to answer two primary research questions. First of all, using more recent stocks earnings surprise, is Google search data a good indicator of investor interest prior to the earnings announcement? Second does the Google data add to the predictability of post earnings volume and pricing direction? Data on earnings surprise were taken from Yahoo Finance and Google search volume data were taken from the Google trends website. While the results found in the analyses above are not highly convincing regarding Google trends data and price movement from earnings surprise, the results on the volume models yielded promising (i.e. significant) results. Moreover, Mean Absolute Error was reduced by approximately 8% when incorporating the Google trends data on volume predictions.

Download or read book Contrarian Share Price Reactions to Earnings Surprises written by W. Bruce Johnson and published by . This book was released on 2017 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: A persistent (but overlooked) feature of the cross-sectional distribution of quarterly earnings announcement returns is that the measured earnings surprise and share price response to that surprise are often in the opposite direction. Extending Kinney, Burgstahler and Martin [2002], we provide evidence on the prevalence, determinants, and consequences of contrarian stock returns at the earnings announcement date. Using the most recent I/B/E/S consensus EPS forecast as our earnings benchmark, we find that contrarian returns occur for roughly 40 percent of the more than 230,000 quarterly earnings announcements that comprise our sample. They are only slightly less prevalent in extreme earnings surprise deciles, and are evident each quarter during 1985-2005. The incidence of contrarian returns is statistically related to: ldquo;noiserdquo; in the measured earnings surprise (stale I/B/E/S consensus forecasts, pre-announcement stock returns, and the presence of GAAP exclusions); and ldquo;noiserdquo; in the share price response to announced earnings (discordant revenue changes, discordant earnings forecast revisions, return volatility, bid-ask spread and discordant prior quarter earnings surprises). Finally, contrarian stocks exhibit little post-earnings-announcement drift.

Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Rattiner s Review for the CFP Certification Examination Fast Track Study Guide written by Jeffrey H. Rattiner and published by John Wiley & Sons. This book was released on 2007-07-16 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: A CFP Study Guide that deliverswhat you need to succeed! This quick study guide for candidates preparing to take the CFP Certification Examination covers the bare-bones essentials needed to pass this challenging exam in a logical and easy-to-absorb manner. Now, in a Second Edition, it covers some of the most important disciplines of financial planning--insurance, employee benefit, investment, income tax, retirement, estate, and general planning--and provides a no-nonsense approach to studying that includes: * A highly logical and candidate-friendly format * An in-depth outline of core essentials * Explanations of all relevant exposures complete with solutions and practical examples * Key points, exam tips, multiple-choice, and mini-case study questions * Mnemonic devices and study techniques to reinforce key points * A format that directly parallels the CFP? Board's topic requirements The Second Edition adds new multiple-choice questions that correlate to the testing and understanding of the new curriculum established by the Certified Financial Planning Board as well as eighty-nine all-new topics related to the new CFP Board Exam. For students who have been through the traditional CFP educational programs and want a book that brings it all together, Rattiner's Review for the CFP Certification Examination, Fast Track Study Guide, Second Edition keeps students organized, on track, and focused on what they need to succeed. In addition to its value as a quick-reference guide to complement all CFP texts and self-study materials, the Guide also serves as an important one-stop resource for financial services professionals who want information in a hurry.

Download or read book Stock Market Math written by Michael C. Thomsett and published by Walter de Gruyter GmbH & Co KG. This book was released on 2017-11-20 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Market Math shows you how to calculate return, leverage, risk, fundamental and technical analysis problems, price, volume, momentum and moving averages, including over 125 formulas and Excel programs for each, enabling readers to simply plug formulas into a spread sheet. This book is the definitive reference for all investors and traders. It introduces the many formulas and legends every investor needs, and explains their application through examples and narrative discussions providing the Excel spreadsheet programs for each. Readers can find instant answers to every calculation required to pick the best trades for your portfolio, quantify risk, evaluate leverage, and utilize the best technical indicators. Michael C. Thomsett is a market expert, author, speaker and coach. His many books include Mathematics of Options, Real Estate Investor’s Pocket Calculator, and A Technical Approach to Trend Analysis. In Stock Market Math, the author advances the science of risk management and stock evaluation with more than 50 endnotes, 50 figures and tables, and a practical but thoughtful exploration of how investors and traders may best quantify their portfolio decisions.

Download or read book Implied Volatility Functions written by Bernard Dumas and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.

Download or read book Market Microstructure written by Frédéric Abergel and published by John Wiley & Sons. This book was released on 2012-04-03 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: The latest cutting-edge research on market microstructure Based on the December 2010 conference on market microstructure, organized with the help of the Institut Louis Bachelier, this guide brings together the leading thinkers to discuss this important field of modern finance. It provides readers with vital insight on the origin of the well-known anomalous "stylized facts" in financial prices series, namely heavy tails, volatility, and clustering, and illustrates their impact on the organization of markets, execution costs, price impact, organization liquidity in electronic markets, and other issues raised by high-frequency trading. World-class contributors cover topics including analysis of high-frequency data, statistics of high-frequency data, market impact, and optimal trading. This is a must-have guide for practitioners and academics in quantitative finance.

Download or read book The Stock Investor s Pocket Calculator written by Michael C. Thomsett and published by Amacom Books. This book was released on 2007 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: Every stock market investor needs to be able to calculate value, profits, and cash flow in order to make basic decisions like whether to buy, hold, or sell. But it's easy to get intimidated by all the ratios and formulas, especially when incorrect calculations can lead to costly investment mistakes. he Stock Investor's Pocket Calculator simplifies the math behind successful equity investing. Containing over 100 ratios and formulas, the book translates them into plain English, breaks them down into simple steps, and places them side-by-side with practical examples. Readers will learn how to: * judge portfolio value * assess corporate strength or weakness (both cash flow and profitability) * follow revenue and earnings trends * and more. Filled with worksheets, checklists, visual aids, and examples, this is a must-have guide for anyone investing in the stock market.

Download or read book Earnings Surprise and Ex ante Price Effects in Options Markets written by Jin-kyu Joo and published by . This book was released on 1988 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Impact of the Global Settlement written by United States. Congress. Senate. Committee on Banking, Housing, and Urban Affairs and published by . This book was released on 2004 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Earnings Quality written by Jennifer Francis and published by Now Publishers Inc. This book was released on 2008 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: This review lays out a research perspective on earnings quality. We provide an overview of alternative definitions and measures of earnings quality and a discussion of research design choices encountered in earnings quality research. Throughout, we focus on a capital markets setting, as opposed, for example, to a contracting or stewardship setting. Our reason for this choice stems from the view that the capital market uses of accounting information are fundamental, in the sense of providing a basis for other uses, such as stewardship. Because resource allocations are ex ante decisions while contracting/stewardship assessments are ex post evaluations of outcomes, evidence on whether, how and to what degree earnings quality influences capital market resource allocation decisions is fundamental to understanding why and how accounting matters to investors and others, including those charged with stewardship responsibilities. Demonstrating a link between earnings quality and, for example, the costs of equity and debt capital implies a basic economic role in capital allocation decisions for accounting information; this role has only recently been documented in the accounting literature. We focus on how the precision of financial information in capturing one or more underlying valuation-relevant constructs affects the assessment and use of that information by capital market participants. We emphasize that the choice of constructs to be measured is typically contextual. Our main focus is on the precision of earnings, which we view as a summary indicator of the overall quality of financial reporting. Our intent in discussing research that evaluates the capital market effects of earnings quality is both to stimulate further research in this area and to encourage research on related topics, including, for example, the role of earnings quality in contracting and stewardship.

Download or read book The Routledge Companion to Auditing written by David Hay and published by Routledge. This book was released on 2014-09-15 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: Auditing has been a subject of some controversy, and there have been repeated attempts at reforming its practice globally. This comprehensive companion surveys the state of the discipline, including emerging and cutting-edge trends. It covers the most important and controversial issues, including auditing ethics, auditor independence, social and environmental accounting as well as the future of the field. This handbook is vital reading for legislators, regulators, professionals, commentators, students and researchers involved with auditing and accounting. The collection will also prove an ideal starting place for researchers from other fields looking to break into this vital subject.