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

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.