PT - JOURNAL ARTICLE AU - Stephen E. Christophe AU - Michael G. Ferri TI - Evidence on the Market's Underestimation of Foreign Earnings Persistence AID - 10.3905/joi.2004.391044 DP - 2004 Feb 29 TA - The Journal of Investing PG - 72--78 VI - 13 IP - 1 4099 - https://pm-research.com/content/13/1/72.short 4100 - https://pm-research.com/content/13/1/72.full 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.