{"id":"https://openalex.org/W3123645019","doi":"https://doi.org/10.1111/jofi.12746","title":"Robust Measures of Earnings Surprises","display_name":"Robust Measures of Earnings Surprises","publication_year":2018,"publication_date":"2018-12-19","ids":{"openalex":"https://openalex.org/W3123645019","doi":"https://doi.org/10.1111/jofi.12746","mag":"3123645019"},"language":"en","primary_location":{"id":"doi:10.1111/jofi.12746","doi":"https://doi.org/10.1111/jofi.12746","is_oa":false,"landing_page_url":"https://doi.org/10.1111/jofi.12746","pdf_url":null,"source":{"id":"https://openalex.org/S5353659","display_name":"The Journal of Finance","issn_l":"0022-1082","issn":["0022-1082","1540-6261"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Finance","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.2473366","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5017439687","display_name":"Chin-Han Chiang","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"CHIN\u2010HAN CHIANG","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":null,"display_name":"WEI DAI","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"WEI DAI","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100664286","display_name":"Jianqing Fan","orcid":"https://orcid.org/0000-0003-3250-7677","observed_orcids":["https://orcid.org/0000-0003-3250-7677"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"JIANQING FAN","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5001133618","display_name":"Harrison G. Hong","orcid":"https://orcid.org/0000-0002-2263-7761","observed_orcids":["https://orcid.org/0000-0002-2263-7761"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"HARRISON HONG","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5069393408","display_name":"Jun Tu","orcid":"https://orcid.org/0000-0001-9641-2162","observed_orcids":["https://orcid.org/0000-0001-9641-2162"]},"institutions":[{"id":"https://openalex.org/I139264467","display_name":"Seoul National University","ror":"https://ror.org/04h9pn542","country_code":"KR","type":"education","lineage":["https://openalex.org/I139264467"]},{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]},{"id":"https://openalex.org/I55633929","display_name":"World Bank Group","ror":"https://ror.org/02md09461","country_code":"US","type":"other","lineage":["https://openalex.org/I55633929"]},{"id":"https://openalex.org/I78577930","display_name":"Columbia University","ror":"https://ror.org/00hj8s172","country_code":"US","type":"education","lineage":["https://openalex.org/I78577930"]},{"id":"https://openalex.org/I79891267","display_name":"Singapore Management University","ror":"https://ror.org/050qmg959","country_code":"SG","type":"education","lineage":["https://openalex.org/I79891267"]},{"id":"https://openalex.org/I90259746","display_name":"Capital University of Economics and Business","ror":"https://ror.org/01r5sf951","country_code":"CN","type":"education","lineage":["https://openalex.org/I90259746"]}],"countries":["CN","KR","SG","US"],"is_corresponding":false,"raw_author_name":"JUN TU","raw_affiliation_strings":["Chin-Han Chiang is with World Bank Group. Wei Dai is with Princeton University. Jianqing Fan is with Princeton University and International School of Economics and Management, Capital University of Economics and Business. Harrison Hong is with Columbia University and NBER. Jun Tu is with Singapore Management University. The authors thank Ken Singleton (Editor) and anonymous referees for many helpful comments. They also thank Bruce Grundy; Hongjun Yan; and seminar participants at the European Finance Association Meetings 2015, Western Finance Association 2015 Meetings, China International Finance Conference 2015, Financial Management Association 2015 Meetings, Singapore Management University, Seoul National University, and Emory University. Jun Tu acknowledges support from Sim Kee Boon Institute of Financial Economics. This paper was previously titled \u201cWhen Everyone Misses on the Same Side: Debiased Earnings Surprises and Stock Returns.\u201d The authors have no material financial or nonfinancial interests related to this research, as identified in the Journal of Finance 's disclosure policy","Chin-Han Chiang is with World Bank Group. Wei Dai is with Princeton University. Jianqing Fan is with Princeton University and International School of Economics and Management, Capital University of Economics and Business. Harrison Hong is with Columbia University and NBER. Jun Tu is with Singapore Management University. The authors thank Ken Singleton (Editor) and anonymous referees for many helpful comments. They also thank Bruce Grundy","Hongjun Yan","seminar participants at the European Finance Association Meetings 2015, Western Finance Association 2015 Meetings, China International Finance Conference 2015, Financial Management Association 2015 Meetings, Singapore Management University, Seoul National University, and Emory University. Jun Tu acknowledges support from Sim Kee Boon Institute of Financial Economics. This paper was previously titled \"When Everyone Misses on the Same Side: Debiased Earnings Surprises and Stock Returns.\" The authors have no material financial or nonfinancial interests related to this research, as identified in the Journal of Finance's disclosure policy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Chin-Han Chiang is with World Bank Group. Wei Dai is with Princeton University. Jianqing Fan is with Princeton University and International School of Economics and Management, Capital University of Economics and Business. Harrison Hong is with Columbia University and NBER. Jun Tu is with Singapore Management University. The authors thank Ken Singleton (Editor) and anonymous referees for many helpful comments. They also thank Bruce Grundy; Hongjun Yan; and seminar participants at the European Finance Association Meetings 2015, Western Finance Association 2015 Meetings, China International Finance Conference 2015, Financial Management Association 2015 Meetings, Singapore Management University, Seoul National University, and Emory University. Jun Tu acknowledges support from Sim Kee Boon Institute of Financial Economics. This paper was previously titled \u201cWhen Everyone Misses on the Same Side: Debiased Earnings Surprises and Stock Returns.\u201d The authors have no material financial or nonfinancial interests related to this research, as identified in the Journal of Finance 's disclosure policy","institution_ids":["https://openalex.org/I20089843","https://openalex.org/I79891267","https://openalex.org/I90259746"]},{"raw_affiliation_string":"Chin-Han Chiang is with World Bank Group. Wei Dai is with Princeton University. Jianqing Fan is with Princeton University and International School of Economics and Management, Capital University of Economics and Business. Harrison Hong is with Columbia University and NBER. Jun Tu is with Singapore Management University. The authors thank Ken Singleton (Editor) and anonymous referees for many helpful comments. They also thank Bruce Grundy","institution_ids":["https://openalex.org/I20089843","https://openalex.org/I55633929","https://openalex.org/I78577930","https://openalex.org/I79891267","https://openalex.org/I90259746"]},{"raw_affiliation_string":"Hongjun Yan","institution_ids":[]},{"raw_affiliation_string":"seminar participants at the European Finance Association Meetings 2015, Western Finance Association 2015 Meetings, China International Finance Conference 2015, Financial Management Association 2015 Meetings, Singapore Management University, Seoul National University, and Emory University. Jun Tu acknowledges support from Sim Kee Boon Institute of Financial Economics. This paper was previously titled \"When Everyone Misses on the Same Side: Debiased Earnings Surprises and Stock Returns.\" The authors have no material financial or nonfinancial interests related to this research, as identified in the Journal of Finance's disclosure policy","institution_ids":["https://openalex.org/I139264467","https://openalex.org/I79891267"]}]}],"institutions":[],"countries_distinct_count":4,"institutions_distinct_count":6,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":{"value":4430,"currency":"USD","value_usd":4430},"apc_paid":null,"fwci":3.9594,"has_fulltext":false,"cited_by_count":41,"citation_normalized_percentile":{"value":0.94057006,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":99},"biblio":{"volume":"74","issue":"2","first_page":"943","last_page":"983"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9955999851226807,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9955999851226807,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10081","display_name":"Auditing, Earnings Management, Governance","score":0.002199999988079071,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12123","display_name":"Financial Analysis and Corporate Governance","score":0.0006000000284984708,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/earnings-surprises","display_name":"earnings surprises","score":0.9959999918937683},{"id":"https://openalex.org/keywords/forecast-bias","display_name":"forecast bias","score":0.675000011920929},{"id":"https://openalex.org/keywords/nonlinear-filtering","display_name":"nonlinear filtering","score":0.5410000085830688},{"id":"https://openalex.org/keywords/event-study","display_name":"event study","score":0.6060000061988831},{"id":"https://openalex.org/keywords/market-efficiency","display_name":"market efficiency","score":0.9110000133514404},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.800000011920929}],"concepts":[{"id":"https://openalex.org/C2781426361","wikidata":"https://www.wikidata.org/wiki/Q5326940","display_name":"Earnings","level":2,"score":0.785110592842102},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7253369092941284},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.6873050332069397},{"id":"https://openalex.org/C2776639384","wikidata":"https://www.wikidata.org/wiki/Q840396","display_name":"Ideal (ethics)","level":2,"score":0.6572046279907227},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4947180449962616},{"id":"https://openalex.org/C2779662365","wikidata":"https://www.wikidata.org/wiki/Q5416694","display_name":"Event (particle physics)","level":2,"score":0.4688464403152466},{"id":"https://openalex.org/C106131492","wikidata":"https://www.wikidata.org/wiki/Q3072260","display_name":"Filter (signal processing)","level":2,"score":0.4482375681400299},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4274233281612396},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.34871727228164673},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.14835307002067566},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.13399234414100647},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.10038802027702332},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C31972630","wikidata":"https://www.wikidata.org/wiki/Q844240","display_name":"Computer vision","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1111/jofi.12746","doi":"https://doi.org/10.1111/jofi.12746","is_oa":false,"landing_page_url":"https://doi.org/10.1111/jofi.12746","pdf_url":null,"source":{"id":"https://openalex.org/S5353659","display_name":"The Journal of Finance","issn_l":"0022-1082","issn":["0022-1082","1540-6261"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","erih-plus","fnege-1-star","ft50","jufo-3","norway-2","poland-200","russia-white-list-1","utd24","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Journal of Finance","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.2473366","doi":"https://doi.org/10.2139/ssrn.2473366","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2473366","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:ink.library.smu.edu.sg:lkcsb_research-6405","doi":null,"is_oa":false,"landing_page_url":"https://ink.library.smu.edu.sg/lkcsb_research/5406","pdf_url":null,"source":{"id":"https://openalex.org/S4306401925","display_name":"Singapore Management University Institutional Knowledge (InK) (Singapore Management University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I79891267","host_organization_name":"Singapore Management University","host_organization_lineage":["https://openalex.org/I79891267"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"https://doi.org/10.1111/jofi.12746","raw_type":"Journal Article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.2473366","doi":"https://doi.org/10.2139/ssrn.2473366","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2473366","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W84356932","https://openalex.org/W1545304514","https://openalex.org/W1573257242","https://openalex.org/W1987881672","https://openalex.org/W1988062637","https://openalex.org/W2009566643","https://openalex.org/W2038224101","https://openalex.org/W2049582966","https://openalex.org/W2086223165","https://openalex.org/W2096706783","https://openalex.org/W2111255674","https://openalex.org/W2113443463","https://openalex.org/W2119621677","https://openalex.org/W2130162792","https://openalex.org/W2133350325","https://openalex.org/W2137184207","https://openalex.org/W2142974872","https://openalex.org/W2154153720","https://openalex.org/W2156209548","https://openalex.org/W2156759792","https://openalex.org/W2168745915","https://openalex.org/W2169645335","https://openalex.org/W3121359457","https://openalex.org/W3122186295","https://openalex.org/W3122228324","https://openalex.org/W3122685144","https://openalex.org/W3122727838","https://openalex.org/W3122755721","https://openalex.org/W3123353615","https://openalex.org/W3124251361","https://openalex.org/W3125348180","https://openalex.org/W3125438718","https://openalex.org/W3125879411","https://openalex.org/W3125974145","https://openalex.org/W4205384207","https://openalex.org/W4256360645"],"related_works":["https://openalex.org/W2766316312","https://openalex.org/W2790291025","https://openalex.org/W4390100585","https://openalex.org/W1479136756","https://openalex.org/W4254927302","https://openalex.org/W4255294071","https://openalex.org/W2317244907","https://openalex.org/W6986543955","https://openalex.org/W2077133830","https://openalex.org/W3087063129"],"abstract_inverted_index":{"ABSTRACT":[0],"Event":[1],"studies":[2],"of":[3,28,47,63,69,82,99],"market":[4],"efficiency":[5],"measure":[6],"earnings":[7,19],"surprises":[8],"using":[9],"the":[10,21,33,72,80,97],"consensus":[11],"error":[12],"(":[13,75],"CE":[14,42,57,94],"),":[15,77],"given":[16],"as":[17],"actual":[18],"minus":[20],"average":[22],"professional":[23],"forecast.":[24],"If":[25],"a":[26,44,59,85],"subset":[27],"forecasts":[29],"can":[30],"be":[31],"biased,":[32],"ideal":[34,65],"but":[35],"difficult":[36],"to":[37,41],"estimate":[38],"parameter\u2010dependent":[39],"alternative":[40],"is":[43,58,104],"nonlinear":[45],"filter":[46],"individual":[48],"errors":[49],"that":[50,56],"adjusts":[51],"for":[52],"bias.":[53],"We":[54],"show":[55],"poor":[60],"parameter\u2010free":[61],"approximation":[62],"this":[64],"measure.":[66],"The":[67],"fraction":[68],"misses":[70],"on":[71],"same":[73],"side":[74],"FOM":[76,89],"which":[78],"discards":[79],"magnitude":[81],"misses,":[83],"offers":[84],"far":[86],"better":[87],"approximation.":[88],"performs":[90],"particularly":[91],"well":[92],"against":[93],"in":[95],"predicting":[96],"returns":[98],"U.S.":[100],"stocks,":[101],"where":[102],"bias":[103],"potentially":[105],"large.":[106]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":5},{"year":2023,"cited_by_count":11},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":2}],"updated_date":"2026-11-07T11:25:07.637180","created_date":"2021-02-01T00:00:00"}