Long-Term Event Study on Earnings Surprises and Practical Portfolio Construction

Tianxiang Liu ()

Asian Economic and Financial Review, 2018, vol. 8, issue 6, 775-789

Abstract: This study investigates the effect of quarterly earnings announcements for a large sample of US-listed companies in recent years (2008-2016). The research design involves regressions of total returns and residual returns on surprises, size, growth, accounting accruals, volume and announcement timing. Meanwhile, this study incorporates the effect of size and growth on the impact of earnings surprises into consideration. My results show the earnings and accounting accruals can be exploited to build an implementable portfolio, which has the annual return of 50.03% after hedging the beta, size, and growth.

Keywords: Portfolio construction; Earnings announcements; Event study; Accounting accruals; Announcement timing; Abnormal returns. (search for similar items in EconPapers)
Date: 2018
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