Explaining firms' earnings announcement stock returns using FactSet and I/B/E/S data feeds

• 成果类型: Article
• 署名作者: Hand, John R. M.; Laurion, Henry; Lawrence, Alastair; Martin, Nicholas
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of Colorado System; University of Colorado Boulder; University of London; London Business School; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-021-09597-6
• 发表日期: 2022
• 页码: 1389-1420
• 关键词: cash flow forecasts; information-content; Financial analysts; revenue; association; management; QUALITY; STREET; GAAP

摘要

Since 2001, the number of financial statement line items forecasted by analysts and managers that I/B/E/S and FactSet capture in their data feeds has soared. Using this new data, we find that 13 item surprises-11 income statement-based and 2 cash flow statement-based analyst and management guidance surprises-reliably explain firms' signed earnings announcement returns. No balance sheet or expense surprises are significant. The most important surprises are (i) one-quarter-ahead sales guidance surprise, (ii) analyst sales surprise, (iii) annual Street earnings guidance surprise, and (iv) analyst Street earnings surprise. We also find that the adjusted R(2)s of our multivariate regressions are three times higher than the adjusted R(2)s of univariate Street earnings surprise regressions, and that the four most important surprises account for approximately half of this increase in explanatory power.