RT Journal Article
SR Electronic
T1 The Role of Value in Strategies Based on Anticipated Earnings Surprise
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 54
OP 62
DO 10.3905/jpm.2000.319744
VO 26
IS 2
A1 Haim A. Mozes
YR 2000
UL https://pm-research.com/content/26/2/54.abstract
AB The author shows that the strategy of buying stocks where the most positive earnings surprises are expected is more effective for high E/P (i.e., value) stocks than for low E/P (i.e., glamour) stocks. Conversely, the strategy of selling short stock where the most negative earnings of surprises are expected is more effective for low E/P stocks than for high E/P stocks. These results hold after controlling for firm size, forecast horizon, stock price momentum, and the number of analyst forecast. To the extent that the results for strategies based on expected earnings surprises are driven by value stocks that react strangely for favorable information, the interpretation of the strategies' success may be that they are forms of value strategies.