RT Journal Article
SR Electronic
T1 Evidence on the Market's Underestimation of Foreign Earnings Persistence
JF The Journal of Investing
FD Institutional Investor Journals
SP 72
OP 78
DO 10.3905/joi.2004.391044
VO 13
IS 1
A1 Stephen E. Christophe
A1 Michael G. Ferri
YR 2004
UL https://pm-research.com/content/13/1/72.abstract
AB Can a hedging strategy consistently generate profits by exploiting a drift in returns following the announcement of large changes in the foreign earnings of U.S. multinational firms? Results of this study indicate such a strategy produces positive profits on average, but the returns vary considerably from year to year and are negative in two of eight years examined. A market-neutral hedge portfolio based on announced changes in foreign earnings represents not a pure arbitrage opportunity, but rather a potentially risky style of investment.