Earnings surprise materiality as measured by stock returns
成果类型：
Article
署名作者：
Kinney, W; Burgstahler, D; Martin, R
署名单位：
University of Texas System; University of Texas Austin; University of Washington; University of Washington Seattle; Indiana University System; Indiana University Bloomington
刊物名称：
JOURNAL OF ACCOUNTING RESEARCH
ISSN/ISSBN：
0021-8456
DOI：
10.1111/1475-679X.t01-1-00055
发表日期：
2002
页码：
1297-1329
关键词：
摘要：
Ranked earnings surprise portfolios formed from First Call files for 1992-97 are used to assess the annual earnings surprise magnitude for an individual firm sufficient to expect a significant market reaction. We find that, for an individual firm, the maximum probability of a gain from trading on prior knowledge of any surprise magnitude is .622. The lack of probable trading gains is due to the S-shaped surprise/return relation and the large variance of returns for a given magnitude of surprise. In turn, we find that the S-shape is related empirically to the dispersion of analyst forecasts. Thus, factors underlying dispersion differences are related to the importance or materiality of earnings surprise as measured by stock returns and explain at least part of the S-shaped surprise/return relation.
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