Review of Quantitative Finance and Accounting

, Volume 31, Issue 2, pp 147–166 | Cite as

An empirical assessment of the premium associated with meeting or beating both time-series earnings expectations and analysts’ forecasts

Original Research


Recent research provides evidence of a market premium accruing to firms that meet or beat analysts’ forecasts. We find similar results for our sample of firms. However, we also find a market premium for firms that meet or beat time-series forecasts, and that the highest market premium accrued to firms that meet or beat both analysts’ and time-series forecasts. These findings are supported by assessments of future financial performance over the next two subsequent years. Our findings are consistent with the notion that when time-series benchmark is used in conjunction with analysts’ forecasts, investors obtain a more reliable (i.e., less noisy) signal regarding whether firms have actually met or beaten market expectations.


Meet Beat Time-series earnings expectations Analysts' forecasts 

JEL Classification




We appreciate the helpful comments of Larry Brown, Mort Pincus, Greg Waymire, Christine Botosan, Suresh Radhakrishnan and workshop participants at the University of Utah and at the 2002 financial accounting mini-conference at Washington University. We are particularly indebted to Professor Cheng F. Lee (editor) and the anonymous reviewer for very constructive comments and suggestions. The views expressed in this paper are those of the authors and do not necessarily reflect those of Mellon Capital Management.


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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  • Nicholas Dopuch
    • 1
  • Chandra Seethamraju
    • 2
  • Weihong Xu
    • 3
  1. 1.Olin School of BusinessWashington UniversitySt. LouisUSA
  2. 2.Mellon Capital ManagementSan FranciscoUSA
  3. 3.354 Jacobs Management Center, Department of Accounting & LawState University of New York at BuffaloBuffaloUSA

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