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|Title: ||Earnings Surprises and the Options Market|
|Authors: ||Fehrs, Donald H.|
Mendenhall, Richard R.
Nichols, William D.
|Issue Date: ||Oct-1994 |
|Series/Report no.: ||FIN-94-031|
|Abstract: ||Numerous articles over the past few decades have documented a consistent
relationship between earnings surprises and subsequent stock price
performance. [See, for example, Ball and Brown (1968), Rendleman, Jones,
and Latane (1982), Foster, Olsen, and Shevlin (1984), and Bernard and
Thomas (1989).] Specifically when firms announce quarterly earnings
figures that are higher (lower) than market expectations, as proxied by
either mechanical time-series models or commercially available
analysts’ forecasts, the stock price performance following the
announcement tends to be abnormally good (bad). This phenomenon is
referred to as post-earnings-announcement drift or the standardized
unexpected earnings effect, SUE for short.|
|Appears in Collections:||Finance Working Papers|
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