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Earnings Surprise, Market Efficiency, and Expectations
Author(s) -
Alexander John C.
Publication year - 1992
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1992.tb01328.x
Subject(s) - earnings surprise , earnings , surprise , post earnings announcement drift , value (mathematics) , sample (material) , economics , security market , financial economics , business , econometrics , monetary economics , earnings response coefficient , accounting , finance , psychology , social psychology , chemistry , chromatography , machine learning , computer science
The examination of both the analysts' consensus and simple forecast models over a single sample provides a better understanding of the link between unexpected earnings and security prices. Analysts' attention is found to reduce the value of the annual earnings announcement to the investor. This suggests that the earnings announcement of firms not followed by analysts contains more information relative to those firms followed by analysts. Further, the examination of the market response to the annual earnings announcement, with respect to either model, fails to detect the pricing anomaly observed in many previous studies.