Source: Credit Suisse The compact and hectic nature of the earnings season suggests that a systematic approach can help investors focus on the most pertinent earnings releases. We offer quantitative insights on ways to pre-position for results, the most relevant earnings surprise metrics, and how to capture the post-earnings announcement drift.
Given the patchy interim-period consensus estimates coverage in the APAC, we propose a time-series model that accommodates the earnings seasonality and autocorrelations to come up with the quarterly estimates. By taking the model output as “baseline” estimates for company earnings, we can also glean additional insights into the “optimism” in consensus figures (where available) and seasonally adjust the earnings results where necessary. Moreover, we observe that the companies that are estimated to have strong next-quarter earnings display pre-announcement drift going into the next results.
Our long/short surprise drift portfolio comprises stocks with the strongest/weakest surprise metrics and estimated next-quarter surprises. The strategy outperforms traditional momentum strategies (especially in Japan), is indifferent to broader market conditions, and has little consistency of style or industry biases.
Recommendations for the latest earnings season can be found here. Interested readers can also sign up to receive the latest portfolio additions from us.
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