We examine whether the average earnings surprises announced yesterday affect investors' responses to earnings news announced today. We find that in the short window surrounding an earnings announcement, the market rewards today's earnings news that is above yesterday's average earnings surprises...

We test the proposition in Johnstone (2016) that new information may lead to higher, rather than lower, uncertainty about firms' future payoffs. Based on the Bayesian rule, we hypothesize earnings news that is inconsistent with investors' prior belief will lead to higher market uncertainty....