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

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  • Tianxiang Liu

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.

Suggested Citation

  • Tianxiang Liu, 2018. "Long-Term Event Study on Earnings Surprises and Practical Portfolio Construction," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(6), pages 775-789.
    • Handle: RePEc:asi:aeafrj:v:8:y:2018:i:6:p:775-789:id:1710
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