Naïve earnings growth extrapolation

• Main Authors: CUI, Chenyu, LI, Frank Weikai, ZHANG, Xinyi
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Extrapolation; Earnings Announcements; Speculative Trading; Financial Reporting; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/6804
• Institution: Singapore Management University

Exploiting the unique financial reporting format in China, we document that stocks with the strongest past year-to-date earnings growth experience a significant price run-up of 1.2% during the five trading days before their quarterly earnings announcements and a significant return reversal of -1.35%...