Forecastability of Earnings Surprises

James G. Bulsiewicz


I investigate whether it is possible to profitably trade on predicted earnings surprises, forecasted using the Foster (1977) model. Unlike the extant literature, which documents a strong positive relation between actual earnings surprises and returns, I find that trading on predicted earnings surprises, generated by the Foster (1977) model, has earned a small negative, but statistically indistinguishable from zero, return. This result highlights the difficulty in forecasting earnings surprises.

Full Text:




  • There are currently no refbacks.

Copyright (c) 2020 James G. Bulsiewicz

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.

International Journal of Accounting and Financial Reporting  ISSN 2162-3082

Copyright © Macrothink Institute 

'Macrothink Institute' is a trademark of Macrothink Institute, Inc.

To make sure that you can receive messages from us, please add the '' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.