Please Share:: 
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
Quant Strategy – Drifting with events
Outperformance after Chinese trade regulation changes
This month we use a new data source which tracks trade barrier/regulatory
changes and tests the impact of these changes on the affected sectors. We use
the MSCI China universe at a sector level and find that there is a post trade
regulation change drift that is not priced in. This mispricing lasts for 2-3
months, offering an opportunity for investors to take advantage of it.
Sectors in which less open trade regulations are introduced (positive for local
company) tend to outperform by 4.7% on average in the following 3 months.
Sectors which have more open trade regulations introduced (negative for local
company) tend to underperform by -3.2% in the following 3 months.
Sectors with positive recent trade regulatory changes in China are:
Technology Hardware and Equipment, Materials, Real Estate and
Automobiles and Components.
Post earnings announcement drift in India
A large number of stocks in the MSCI India universe report full year results in
April-June. We test the Post Earnings Announcement Drift (PEAD) anomaly in
India to help guide investors on what to do after a stock reports. We find that:
Positively surprising stocks (SUE > 1) tend to outperform by 1.2% in the
following 1-2 months.
Negatively surprising stocks (SUE < -1) tend to underperform by -1.9% in the
following 1-2 months.
Country Model: Buy Thailand; Sell Japan
Top three countries in our Macquarie Asia-Pacific Country Model this month
are: Thailand, Korea and China
Bottom Three countries are Japan, India and Singapore.
What’s working – Momentum and Analyst signals
The Alpha model had another strong month in April, even when the valuation
component wasn’t working, the model still managed an IC of 11.0%.
Momentum and Analyst sentiment: 12M momentum metrics were
particularly strong last month, with ICs of 32.4%.
Valuation signals: Value surprisingly struggled this month with cashflow yield
and book yield both struggling.
Key quant picks in Asia
Stocks ranking well in the Macquarie Alpha model include: Anhui Conch
Cement (HK), Rio Tinto (Australia), ICBC (China), China Petroleum and
Chemical (China) and Woori Fin (Korea).
Stocks ranking poorly include: Inotera Memories (Taiwan), Nanya Tech
(Taiwan), BYD (China), Paladin Energy (Australia), and Malaysian Airlines
(Malaysia).
India Equity Research Reports, IPO and Stock News
Visit http://indiaer.blogspot.com/ for complete details �� ��
Quant Strategy – Drifting with events
Outperformance after Chinese trade regulation changes
This month we use a new data source which tracks trade barrier/regulatory
changes and tests the impact of these changes on the affected sectors. We use
the MSCI China universe at a sector level and find that there is a post trade
regulation change drift that is not priced in. This mispricing lasts for 2-3
months, offering an opportunity for investors to take advantage of it.
Sectors in which less open trade regulations are introduced (positive for local
company) tend to outperform by 4.7% on average in the following 3 months.
Sectors which have more open trade regulations introduced (negative for local
company) tend to underperform by -3.2% in the following 3 months.
Sectors with positive recent trade regulatory changes in China are:
Technology Hardware and Equipment, Materials, Real Estate and
Automobiles and Components.
Post earnings announcement drift in India
A large number of stocks in the MSCI India universe report full year results in
April-June. We test the Post Earnings Announcement Drift (PEAD) anomaly in
India to help guide investors on what to do after a stock reports. We find that:
Positively surprising stocks (SUE > 1) tend to outperform by 1.2% in the
following 1-2 months.
Negatively surprising stocks (SUE < -1) tend to underperform by -1.9% in the
following 1-2 months.
Country Model: Buy Thailand; Sell Japan
Top three countries in our Macquarie Asia-Pacific Country Model this month
are: Thailand, Korea and China
Bottom Three countries are Japan, India and Singapore.
What’s working – Momentum and Analyst signals
The Alpha model had another strong month in April, even when the valuation
component wasn’t working, the model still managed an IC of 11.0%.
Momentum and Analyst sentiment: 12M momentum metrics were
particularly strong last month, with ICs of 32.4%.
Valuation signals: Value surprisingly struggled this month with cashflow yield
and book yield both struggling.
Key quant picks in Asia
Stocks ranking well in the Macquarie Alpha model include: Anhui Conch
Cement (HK), Rio Tinto (Australia), ICBC (China), China Petroleum and
Chemical (China) and Woori Fin (Korea).
Stocks ranking poorly include: Inotera Memories (Taiwan), Nanya Tech
(Taiwan), BYD (China), Paladin Energy (Australia), and Malaysian Airlines
(Malaysia).
No comments:
Post a Comment