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- W2103277789 abstract "Abstract 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." @default.
- W2103277789 created "2016-06-24" @default.
- W2103277789 creator A5052034262 @default.
- W2103277789 date "2009-06-01" @default.
- W2103277789 modified "2023-09-26" @default.
- W2103277789 title "Earnings surprise and sophisticated investor preferences in India" @default.
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- W2103277789 doi "https://doi.org/10.1016/j.jcae.2008.11.001" @default.
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