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Earnings Surprise, Market Efficiency, and Expectations

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  • Alexander, John C, Jr

Abstract

The examination of both the analysts' consensus and simple forecast models over a single sample provides a better understanding of the link between unexpected earnings and security prices. Analysts' attention is found to reduce the value of the annual earnings announcement to the investor. This suggests that the earnings announcement of firms not followed by analysts contains more information relative to those firms followed by analysts. Further, the examination of the market response to the annual earnings announcement, with respect to either model, fails to detect the pricing anomaly observed in many previous studies. Copyright 1992 by MIT Press.

Suggested Citation

  • Alexander, John C, Jr, 1992. "Earnings Surprise, Market Efficiency, and Expectations," The Financial Review, Eastern Finance Association, vol. 27(4), pages 475-502, November.
    • Handle: RePEc:bla:finrev:v:27:y:1992:i:4:p:475-502
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    Cited by:

    1. Pasaribu, Rowland Bismark Fernando, 2010. "Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45 [Overreaction Anomaly in Indonesia Stock Exchange: Case Study of LQ-45 Stocks]," MPRA Paper 36998, University Library of Munich, Germany.

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