So, for our analysis, we look at the first four months of each year. The annual earnings surprise is calculated at a company level and then averaged across CSI constituents to arrive at an index-level earnings surprise. Additionally, comparing Chinese and foreign brokers, the top 20 foreign brokers achieved a lower differential of The CIQ Consensus Mean has the lowest earnings surprise over the past five years, followed by foreign brokers. With a lower estimate gap demonstrated for the CIQ Consensus Mean, we investigated whether such data can generate alpha and how much return would have potentially been possible in the Chinese market over the last six years.
The Analyst Expectation style factor is a weighted combination of four factors: expected long-term growth, analyst earnings estimate diffusion, standardized unexpected earnings, and the number of EPS FY1 revisions. These factors are calculated using the Market Intelligence Estimates data package. An equal weighted, long-only factor portfolio was then created by investing in the top 20 percentile of the China A shares universe, and this basket is rebalanced monthly. In this article, we summarized our analysis of foreign institutional ownership, foreign broker coverage, and EPS forecasts for the China A shares universe from to We pointed out that the foreign institutional ownership percentage against total institutional shares had increased by We used the earnings surprise i.
The CIQ Consensus Mean, a combination of both types of broker estimates based on the same methodology, had the lowest estimate gap overall. Based on an alpha factor calculated from the CIQ consensus data, our investment strategy also achieved As can be seen in Figure 4, the number of estimates covered by foreign brokers increased by Data coverage as of January Thank you. We use this when contacting you to make sure we reach the right person.
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In one clip posted Apr. Several other analysts, male and female both, from brokerages including Haitong Securities and Essences Securities are also streaming their research reports online. The videos and streaming are relatively unprofessional, but they are attracting thousands, or tens of thousands, of viewers:. But the reviews of their stock analysis are mixed. A re-post on video portal Youku video in Chinese has attracted around 1, views.
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