投资策略：业绩期如何把握超预期机遇

STRATEGY | 21 March 2023 This research report has been created by CCB International Securities Limited. Analyst certifications and other important disclosures on last page 1 From mid-to-late Mar to Apr, Hong Kong stocks and A-shares enter peak season for results announcements. With the release of the previous year’s annual report, the current year’s 1Q results, and the latest management guidance, investors have plenty of new information to sift through. In this report, we backtest the performance of Hong Kong and A-shares based on earnings and revenue surprises from previous earnings seasons and the six months following. We look for trends in consensus sales and earnings projections for equities within the major indices but across sectors. Based on these trends, we compile lists of stocks with multiple positive earnings beats over the past seven years in the universe of the HSI and CSI300. We believe our results can be used as a guide for identifying those names with earnings beat potential in the current results season. At the market level, the earnings surprise factor of Hong Kong stocks significantly outperformed either the market or the common style factors in the three-to-six months following last year’s results season. The market environment has become more volatile since the US Federal Reserve kicked off a new tightening cycle in Nov 2021. In this environment, the Surprise factor for Hong Kong stock earnings in 2022 stood out. From Mar to Jun last year – in other words, Hong Kong earnings season and the three months following – the HSI Earnings Surprise factor recorded a positive return of up to 13.5% under a market-neutral strategy, and 4.0% under a long-only strategy. During the period, the HSI itself, the HSI Sales Surprise factor, the HSI Value factor, and the HSI Growth factor, all recorded negative returns whether under a market-neutral or a long-only strategy. From Mar to Sep, namely, the month of the Hong Kong stocks earnings season and the six months thereafter, the HSI Earnings Surprise factor recorded a positive return of 9.7% under a market-neutral strategy. During this period, the Hang Seng Index tumbled 24.3%. The Value factor, Sales Surprise factor, and Growth factor of the HSI all recorded negative returns of -5.9%, -11.9% and -27.9%, respectively. Under a long-only strategy, the HSI Earnings Surprise factor recorded a negative return of -18.0%, which nevertheless significantly outperformed the market and other factors recording a negative return of -26.5% on average. A-share Earnings Surprise factor and Sales Surprise factor also outperformed the market and Value factor three-to-six months after results season last year. Different from the HSI, the CSI300 outperformed not only on the Earnings Surprise factor last year, but also the Sales Surprise factor. From Apr to Jul last year, encompassing the month of the A-share earnings season and the three months thereafter, the CSI300 Sales Surprise factor and Earnings Surp