Robust measures of earnings surprises

Event studies of market efficiency measure an earnings surprise with the consensuserror (CE), defined as earnings minus the average of professional forecasts. Even if asubset of forecasts can be biased, the ideal but difficult to estimate parameter-dependentalternative to CE is a nonlinear filter of...

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Bibliographic Details
Main Authors: CHIANG, Chin-Han, DAI, Wei, FAN, Jianqing, HONG, Harrison, Jun TU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5406
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6405/viewcontent/SSRN_id2473366.pdf
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Institution: Singapore Management University
Language: English

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