کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5092981 1376103 2009 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Earnings surprise and sophisticated investor preferences in India
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار، مدیریت و حسابداری (عمومی)
پیش نمایش صفحه اول مقاله
Earnings surprise and sophisticated investor preferences in India
چکیده انگلیسی
In this paper, I examine the existence of earnings surprise anomaly for a sample of actively traded stocks in the Bombay Stock Exchange during 2001-2006. I also examine if sophisticated institutional investors, in particular transient investors, exploit the earnings surprise anomaly. My results indicate that using a standard time series model to forecast earnings, there is clear evidence of a post-earnings announcement drift in the Indian market, even after controlling for common factors that affect risk and transaction costs. However, I find very little evidence that indicates transient investors exploit the earnings surprise mispricing. Attribution analysis of hedge portfolio returns based on increases in ownership by transient investors indicates that earnings surprise does not play a role; risk and liquidity does. A direct test of what causes increase in ownership by transient investors provides little support for the role of earnings surprise. Robustness tests also indicate that while earnings surprise is mispriced by the market, the level of transient investor ownership does not mitigate this effect.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Contemporary Accounting & Economics - Volume 5, Issue 1, June 2009, Pages 1-19
نویسندگان
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