Unexpected Monthly Revenue in the Taiwan Stock Market: A Comprehensive Analysis
Author
Abstract
Motivated by Taiwan’s unique regulation that firms listed in the domestic stock market have to announce their past-month’s revenues before the 10th of every month, this paper comprehensively analyzes the effects of unexpected monthly revenue (MSURGE). Evidence shows that, first, MSURGE helps predict future earnings growth and stock returns. Second, although MSURGE, unexpected quarterly revenue (QSURGE), and unexpected quarterly earnings (QSUE) closely correlate, they independently explain the cross-section of stock returns. Third, investment strategies based on the out-of-sample forecasted returns, using MSURGE, QSURGE, QSUE, and other stock characteristics, exhibit superiorly performances. Finally, institutional investors increase (decrease) their holdings prior to the announcements with positive (negative) MSURGE.
Key Words
unexpected revenue, unexpected earnings, the Fama-MacBeth regression, the out-of-sample forecast, institutional investors
