Earnings Revision Overlay on Fundamental Factors in Asia

Categories: General Market Analysis, Investor Education, Equity Investments

Country or region: Asia Pacific (Overall)

In this research paper, we explore the effect of implementing earnings revision strategies over traditional fundamental factor portfolios across seven Pan Asian markets—Australia, China, Hong Kong, India, Japan, South Korea, and Taiwan—between Mar. 31, 2006, and Mar. 31, 2018.

Reference URL: https://latam.spindices.com/documents/research/research-earnings-revision-overlay-on-fundamental-factors-in-asia.pdf?force_download=true



The earnings revision-screened factor portfolios outperformed their respective comparable factor portfolios across the majority of Pan Asian markets for the value and quality factors.

Our screening approach did not introduce a large increase in portfolio turnover or strong sector or size biases to the fundamental factor portfolios historically.

Among various Asian markets, the earnings revision overlay generated the most significant excess return in Australia and Hong Kong for a majority of fundamental factors

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