This paper provides empirical evidence that the squared correlation coefficient between order imbalance and earnings surprise (COE) measures market underreaction and predicts the post‐earnings announcement drift. We find strong evidence that COE during the announcement period predicts price movements (returns) during the post‐announcement period in the expected direction. We find qualitatively similar results using risk‐adjusted returns (i.e., Fama‐French, Carhart, and Pastor‐Stambaugh factor alphas), suggesting that well‐known risk factors do not explain the profitability of trading strategy based on COE.

中文翻译：

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市场对收入公告反应不足的新指标：一项经验检验*

本文提供的经验证据表明，订单失衡与收益突击（COE）之间的平方相关系数可衡量市场反应不足，并预测盈余公告后的漂移。我们发现有力的证据表明，公告期间的COE可以预测公告后期间朝预期方向的价格变动（收益）。我们使用风险调整后的收益（即Fama-French，Carhart和Pastor-Stambaugh因子alpha）在定性上发现相似的结果，这表明众所周知的风险因素不能解释基于COE的交易策略的获利能力。