In this study we examine the stock market's reaction to aggregate earnings news. Prior research shows that, in contrast to individual-firm earnings, a) stock markets' response to aggregate earnings surprise is negative, consistent with aggregate earnings news being predominantly informative...

There is an extensive stream of research that documents a positive association between earnings surprises and stock returns at the individual firm level. We posit that individual firms' earnings surprises have systematic and firm-specific components that differ in their persistence, implying...