Open AccessValue & Growth Investing e Pead PEAD no Brasil
Author(s) -
Fernando Caio Galdi,
Vinícius Souto-Maior Lima
Publication year - 2017
Publication title -
revista brasileira de finanças
Language(s) - English
Resource type - Journals
eISSN - 1984-5146
pISSN - 1679-0731
DOI - 10.12660/rbfin.v14n4.2016.56744
Subject(s) - economics , post earnings announcement drift , book value , earnings , accounting , earnings response coefficient
This paper investigates whether stock picking considering post-earningsannouncement drift (PEAD) together with financial statement analysis improveportfolio returns in the Brazilian market. The strategy implemented exploresthe PEAD anomaly (using SUE portfolios) and both F_Score (Piotroski, 2000)and G_Score (Mohanran, 2005) to build the investment portfolios. To proxyfor earnings surprises we use the standardized unexpected earnings (SUE)criteria. Our analysis considers quarterly data from Brazilian listed firmsfrom 2001 to 2011. Our results show that earnings surprise together withfundamental analysis can build portfolios with stronger returns potentialconsidering long-only and long-short positions.