Portfolio investment: Esp trading strategy in hong kong and in singapore

Kwai Ming Mak; Stephen Y L Cheung; Chris K.C. Ng

doi:10.1300/J130v08n04_02

Portfolio investment: Esp trading strategy in hong kong and in singapore

Kwai Ming Mak^*, Stephen Y L Cheung, Chris K.C. Ng

^*Corresponding author for this work

Research output: Contribution to journal › Journal article › peer-review

Abstract

This study evaluates the performance of an ESP (Earnings Surprise Predictor) trading model in the stock markets of Hong Kong and Singapore during the decade ending year 2000, using I/B/E/S data on forecasted earnings and actual profits of publicly-listed firms. Previous studies have demonstrated that correct estimation of the forthcoming corporate earnings announcements yields an abnormal return in the US market. This study examines the excess return obtainable in Hong Kong and in Singapore from ex ante portfolios formed for the years 1991–2000. Results demonstrate trading profits after transaction costs in applying the trading model in both markets.

Original language	English
Pages (from-to)	3-17
Number of pages	15
Journal	Journal of Transnational Management Development
Volume	8
Issue number	4
DOIs	https://doi.org/10.1300/J130v08n04_02
Publication status	Published - 10 Mar 2004

Scopus Subject Areas

Geography, Planning and Development
Development
Management, Monitoring, Policy and Law

User-Defined Keywords

Abnormal return estimates
Earnings surprise predictor
Rank portfolios of stocks

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10.1300/J130v08n04_02

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title = "Portfolio investment: Esp trading strategy in hong kong and in singapore",

abstract = "This study evaluates the performance of an ESP (Earnings Surprise Predictor) trading model in the stock markets of Hong Kong and Singapore during the decade ending year 2000, using I/B/E/S data on forecasted earnings and actual profits of publicly-listed firms. Previous studies have demonstrated that correct estimation of the forthcoming corporate earnings announcements yields an abnormal return in the US market. This study examines the excess return obtainable in Hong Kong and in Singapore from ex ante portfolios formed for the years 1991–2000. Results demonstrate trading profits after transaction costs in applying the trading model in both markets.",

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AB - This study evaluates the performance of an ESP (Earnings Surprise Predictor) trading model in the stock markets of Hong Kong and Singapore during the decade ending year 2000, using I/B/E/S data on forecasted earnings and actual profits of publicly-listed firms. Previous studies have demonstrated that correct estimation of the forthcoming corporate earnings announcements yields an abnormal return in the US market. This study examines the excess return obtainable in Hong Kong and in Singapore from ex ante portfolios formed for the years 1991–2000. Results demonstrate trading profits after transaction costs in applying the trading model in both markets.

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Portfolio investment: Esp trading strategy in hong kong and in singapore

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