Beyond earnings surprise: Incremental information about future earnings around earnings announcement

James S. Ang, Shaojun Zhang

Research output: Journal article publicationJournal articleAcademic researchpeer-review


We construct two variables that proxy for the incremental information that firms disclose beyond quarterly earnings and find that including these two variables in the abnormal return regression doubles the adjusted R2. The magnitude and speed of the price response to forward-looking information vary across firms; stock prices of firms that are larger, receive greater analyst coverage, and have lower trading costs exhibit greater anticipation of future earnings and adjust to new information faster. Moreover, we find that stock market appears to give an increasingly greater emphasis on short-term earnings information than on longer-term earnings information during the price-bubble period.
Original languageEnglish
Pages (from-to)495-531
Number of pages37
JournalAsia-Pacific Journal of Financial Studies
Issue number4
Publication statusPublished - 1 Dec 2007
Externally publishedYes


  • Analyst forecast
  • Bubble
  • Conference call
  • Earnings announcement
  • Earnings surprise

ASJC Scopus subject areas

  • Finance

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