Next Boston QWAFAFEW Meeting: Tuesday, 19 Jul 2016
Time: 6:15 PM sharpe
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
RSVP to hugh@QWAFAFEW.org
What do measures of real-time corporate sales tell us about earnings surprises and post-announcement returns?
A QWAFAFEW discussion led by:
Ronnie Sadka, PhD
We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain information from both the earnings quarter (“within quarter”) and the period between that quarter’s end and the earnings announcement date (“post quarter”). Our within-quarter measure is powerful in explaining quarterly sales growth, revenue surprises, and earnings surprises, generating average excess returns at announcement of 3.4%. However, surprisingly, our post-quarter measure is related negatively to announcement returns, and positively to post announcement returns. When post-quarter private information is directionally strong, managers, at announcement, provide guidance and use language that points statistically in the opposite direction. This effect is more pronounced when, post-announcement, management insiders trade. We conclude managers do not fully disclose their private information and instead message to shareholders and analysts something of opposite sign. The data suggest they may be motivated in part by subsequent personal stock-trading opportunities.
Professor Ronnie Sadka is chairperson of the finance department at the Carroll School of Management, Boston College. He is also co-founder and managing partner at MKT Mediastats, LLC. His research focuses on the liquidity in financial markets and, more recently, on big-data driven investment applications. Sadka is a frequent speaker at academic and practitioner conferences; his work has appeared in various outlets including Journal of Finance, Journal of Financial Economics, Journal of Accounting Research, Journal of Accounting and Economics, Journal of Financial and Quantitative Analysis, and Financial Analysts Journal, and has been covered by New York Times, Wall Street Journal, and CNBC. Prior academic experience includes teaching at the University of Chicago (Booth), New York University (Stern), Northwestern University (Kellogg), and the University of Washington (Foster). Industry experience includes Goldman Sachs Asset Management and Lehman Brothers (quantitative strategies), and the economic advisory board of NASDAQ OMX. Sadka earned a B.Sc. (Magna Cum Laude) in industrial engineering and a M.Sc. (Summa Cum Laude) in operations research, both from Tel-Aviv University. He received a Ph.D. in finance from Northwestern University (Kellogg).
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12 Academy Avenue
Atkinson, NH 03811
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As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee
Hugh Crowther (Treasurer)
Donna Cool Murphy (Dinners)
The members of the Steerage Committee are responsible for coordinating the program content.
Program suggestions from members are always welcome.
RSVP to: hugh@QWAFAFEW.org