CoachAn 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, , by the standard deviation of that difference over the previous eight quarters.
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.