We posit that management forecasts that are predictable transformations of realized earnings without random errors are more informative than unbiased forecasts which manifest small but unpredictable errors, even if biased forecasts are less accurate. Consistent with this intuition we find that...

This paper examines the impact of earnings announcements and earnings forecast revisions on stock returns across markets with different levels of maturity. In each market, the objects of interest are the effects of backward-looking earnings announcement information and forward-looking earnings...

We show that immediate and delayed abnormal returns following earnings announcement surprises differ across market states. Immediate abnormal returns are more sensitive to earnings surprises in down markets, while delayed abnormal returns are less sensitive; underreaction is attenuated in down...