Can ESP yield abnormal returns? ESP can be used to outperform

Journal/Book: J Portfolio Manage. 1997; 23: 488 Madison Avenue, New York, NY 10022. Institutional Investor Inc. 36.

Abstract: The performance of an earnings surprise predictor (ESP) is examined by the author. He shows that ESP outperforms in each of the nine years, 1986 through 1994. A weighted portfolio assigning higher weights to stocks expected to have the largest positive earnings surprises is shown to have a higher return and a lower variance than a portfolio that assigns equal weights to all ESP rank categories.

Note: Article Brown LD, SUNY Buffalo, Sch Management, Buffalo,NY 14260 USA

Keyword(s): EARNINGS; INFORMATION; BEHAVIOR; MARKET; PRICES

Zurück | Weiter