作者：Kinney, W; Burgstahler, D; Martin, R
作者单位：University of Texas System; University of Texas Austin; University of Washington; University of Washington Seattle; Indiana University System; Indiana University Bloomington
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 surpris...
