Return Predictability and Trends in Earnings Surprises

• Main Authors: Warachka, Mitchell Craig, Loh, R.
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2007
• 主題: Earnings Surprises; Underreaction; Trends; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/1567
• 機構: Singapore Management University

We document that trends in firm-level earnings surprises predict returns. This finding demonstrates that consistency within the sign of multiple prior quarterly earnings surprises is important for future returns. The return predictability of trends remains after controlling for the relatively large...