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Quantitative Finance · Glossaire

Qu'est-ce que « Earnings surprise, standardised unexpected earnings » ?

Aussi appelé : earnings surprise · standardised unexpected earnings

Definition 11.4 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapitre 11 — Fundamental, Analyst and Event Features

An earnings surprise is the reported earnings of a period minus their expected value: an analysts’ consensus forecast (Book 2, chapter 31) or a time-series model. Standardised unexpected earnings (SUE) divide the surprise of a seasonal random walk, xq−xq−4x_q - x_{q-4}, by the standard deviation of that difference over the previous eight quarters.

Mean rank IC over 39 quarterly cross-sections of firm.synthmkt (bars: two standard errors) of the true earnings surprise and of book-to-price, keyed on the day each became known (announcement, filing) and on the period’s end. The period-end key multiplies the surprise’s IC by eight and leaves book-to-price within its noise.
Figure 11.4. Mean rank IC over 39 quarterly cross-sections of firm.synthmkt (bars: two standard errors) of the true earnings surprise and of book-to-price, keyed on the day each became known (announcement, filing) and on the period’s end. The period-end key multiplies the surprise’s IC by eight and leaves book-to-price within its noise.
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