The Quant Angle
Earnings surprises - Where might they be hiding?
Asia Pac Quantitative Analysis
Steve MalinAC
(852) 2800 8568
steven.j.malin@jpmorgan.com
Robert Smith
(852) 2800 8569
robert.z.smith@jpmorgan.com
J.P. Morgan Securities (Asia Pacific) Limited
See page 46 for analyst certification and important disclosures, including non-US analyst disclosures.
J.P. Morgan does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that the firm may
have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their
investment decision.
The Quant Quadrant
Onwards and upwards
TH
TW
SG
PH
NZ
MY
KR
IN
HK
CN
AU
-15%
-10%
-5%
0%
5%
10%
15%
20%
-11% -8% -4% 0% 4% 8% 11% 15% 19% 23%
Earnings Growth
3 Month Earnings Mom. %
Source: J.P. Morgan, IBES
Well it’s very clear that earnings in
all emerging markets in Asia
Pacific are being revised upwards
on both FY1 and even more on
FY2.
Korea, Taiwan and the
Philippines are leading the charge,
followed by Hong Kong and
China - all in very positive
territory.
Developed markets (namely
Australia and New Zealand) are
still experiencing negative
earnings revisions, but less so than
a month ago.
In all, the trend is upwards, with
improving earnings forecasts
across the region.
Earnings Surprises
Where might they be hiding?
In this report we highlight why we regard the forthcoming results as
‘primed for potential earnings surprises’. We also run a simple screen
across the reporting universe to identify stocks with the highest dispersion
in forecasts (and hence greatest earnings risk).
We highlight 19 stocks that could potentially surprise in the next two
weeks. Large caps reporting on 24 July that have the potential to surprise
positively given their elevated dispersion and recent upgrades include
Bajaj Auto Limited., Kia Motors Corporation, KT Corporation, Samsung
Electronics Co., Ltd. and SK Energy Co., Ltd. (Page 2)
Malaysia - Truly Alpha
Factor Reference Guide
In this analysis we investigate how our library of commonly used quant
factors has performed when tested against the large-cap MSCI Malaysia
universe. It is clear from our testing results that there is an opportunity to
generate abnormal returns in the MSCI Malaysia universe through the
application of quantitative techniques. A number of factors were found to
work well, and some of the factor back-test profiles generated in Malaysia
were among the best we have seen globally. Our Q-Score model was
found to be a statistically significant Alpha generator in the Malaysian
market. (Page 8)
Asia Pac Quant Fortnight
• Week by Week Factor Landscape (Page 23)
• The Latest Q-Scores (Page 26)
• Earnings Revisions Radar (Page 28)
• Recommendations Radar (Page 31)
• Overbought & Oversold (Page 34)
• The Fallen Angels (Page 40)
• Tracking Earnings (Page 42)