search query: @author Burgstahler, D. / total: 8
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| Author: | Kinney, W. Burgstahler, D. Martin, R. |
| Title: | Earnings surprise "materiality" as measured by stock returns |
| Journal: | Journal of Accounting Research
2002 : DEC, VOL. 40:5, p. 1297-1329 |
| Index terms: | Earnings Stock returns |
| Language: | eng |
| Abstract: | The annual earnings surprise magnitude for an individual company sufficient to expect a "significant market reaction" is assessed by using ranked earnings surprise portfolios formed from First Call files for 1992-97. It is found, for an individual company, 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. |
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