TY - JOUR T1 - Evidence on the Market's Underestimation of Foreign Earnings Persistence JF - The Journal of Investing SP - 72 LP - 78 DO - 10.3905/joi.2004.391044 VL - 13 IS - 1 AU - Stephen E. Christophe AU - Michael G. Ferri Y1 - 2004/02/29 UR - https://pm-research.com/content/13/1/72.abstract N2 - Can a hedging strategy consistently generate profits by exploiting a drift in returns following the announcement of large changes in the foreign earnings of U.S. multinational firms? Results of this study indicate such a strategy produces positive profits on average, but the returns vary considerably from year to year and are negative in two of eight years examined. A market-neutral hedge portfolio based on announced changes in foreign earnings represents not a pure arbitrage opportunity, but rather a potentially risky style of investment. ER -