Doyle et al. (2003)

Reference

The Extreme Future Stock Returns Following Extreme Earnings Surprises^aa

Jeffrey T. Doyle, Russell J. Lundholm and Mark T. Soliman

Working Paper (December 2003).

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Synopsis

This paper extends Bernard and Thomas (1990) by measuring earnings surprises relative to analysts' consensus forecasts. The results dominate those obtained by Bernard and Thomas using time-series based models of earnings surprises. Firms with positive (negative) current earnings surprises are also shown to be more likely to have positive (negative) future earnings surprises.