Purpose: The Group Method of Data Handling (GMDH) neural network has demonstrated good performance in data mining, prediction, and optimization. Scholars have used it to forecast stock and real estate investment trust (REIT) returns in some countries and region, but not in the United States (US)...

Prior research generally reports a positive relationship between firm-level accounting earnings surprises and contemporaneous stock prices, indicating that accounting earnings carry value-relevant information. Recent studies, however, show that investors respond negatively to unexpected changes...