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On the Market Reaction to Revenue and Earnings Surprises

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  • Itay Kama

Abstract

This study extends Ertimur et al. (2003) and Jegadeesh and Livnat (2006a) by providing a contextual framework for the information content of revenue and earnings surprises. I find that the influence of earnings surprises (revenue surprises) on stock returns is lower (higher) in R&D intensive companies. Also, market reaction to earnings surprises is lower in the fourth quarter, and to revenue surprises it is higher in industries with oligopolistic competition. A comprehensive analysis indicates that, in contrast to previous studies for the full sample, in several contexts market reaction to earnings surprises is not higher than to revenue surprises.

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  • Itay Kama, 2009. "On the Market Reaction to Revenue and Earnings Surprises," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1‐2), pages 31-50, January.
    • Handle: RePEc:bla:jbfnac:v:36:y:2009:i:1-2:p:31-50
    DOI: 10.1111/j.1468-5957.2008.02121.x
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    15. Kristoffer Pons Bertelsen, 2022. "The Prior Adaptive Group Lasso and the Factor Zoo," CREATES Research Papers 2022-05, Department of Economics and Business Economics, Aarhus University.
    16. Josef Fink, 2020. "A Review of the Post-Earnings-Announcement Drift," Working Paper Series, Social and Economic Sciences 2020-04, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
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