Abstract
An indicator derived from analyst forecast revisions was used to investigate the relationship between revisions and subsequent stock returns in 15 Asia-Pacific markets. From an
investment strategy based on forecast revisions, positive abnormal returns were earned in
emerging markets, and negative abnormal returns in developed markets. This pattern was
stronger in the 3-year period after July 1997 than in the prior 3 years. Significant market
imperfections or irrational behaviour of market participants in emerging markets are possible
reasons for the results. The difference in results between subperiods could also be due to an
increased reliance on near-term earnings information in stock valuation after the burst of the
Asian bubble economy
investment strategy based on forecast revisions, positive abnormal returns were earned in
emerging markets, and negative abnormal returns in developed markets. This pattern was
stronger in the 3-year period after July 1997 than in the prior 3 years. Significant market
imperfections or irrational behaviour of market participants in emerging markets are possible
reasons for the results. The difference in results between subperiods could also be due to an
increased reliance on near-term earnings information in stock valuation after the burst of the
Asian bubble economy
| Original language | English |
|---|---|
| Pages (from-to) | 391 - 409 |
| Number of pages | 19 |
| Journal | Journal of Multinational Financial Management |
| Volume | 12 |
| Issue number | 2002 |
| Publication status | Published - 2002 |