Since 2001, the number of financial statement line items forecasted by analysts and managers that I/B/E/S and FactSet capture in their data feeds has soared. Using this new data, we find that 13 item surprises—11 income statement-based and 2 cash flow statement-based analyst and management guidance surprises—reliably explain firms’ signed earnings announcement returns. No balance sheet or expense surprises are significant. The most important surprises are (i) one-quarter-ahead sales guidance surprise, (ii) analyst sales surprise, (iii) annual Street earnings guidance surprise, and (iv) analyst Street earnings surprise. We also find that the adjusted R²s of our multivariate regressions are three times higher than the adjusted R²s of univariate Street earnings surprise regressions, and that the four most important surprises account for approximately half of this increase in explanatory power.

自 2001 年以来，分析师和经理预测的 I/B/E/S 和 FactSet 在其数据馈送中捕获的财务报表行项目数量猛增。使用这些新数据，我们发现 13 个项目意外——11 个基于损益表和 2 个基于现金流量表的分析师和管理指导意外——可靠地解释了公司签署的收益公告回报。没有重大的资产负债表或费用意外。最重要的意外是 (i) 提前一个季度的销售指引意外，(ii) 分析师的销售意外，(iii) 年度 Street 盈利指引意外，以及 (iv) 分析师 Street 盈利意外。我们还发现，调整后[R ^2个是我们的多元回归的三倍比调高[R ²s 的单变量 Street 收益意外回归，并且四个最重要的意外占解释力增加的大约一半。