EarnSupBig · Lead lag · Hou (2007)

Earnings surprise of big firms

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1963Q3 to 2024Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.98%

95% interval 0.13% to 1.83%

Next year

0.97%

95% interval 0.12% to 1.83%

Next five years

0.96%

95% interval 0.06% to 1.84%

Next quarter

1.67%

95% interval 0.69% to 2.88%

Next year

1.62%

95% interval 0.71% to 2.69%

Next five years

1.47%

95% interval 0.67% to 2.32%

Next quarter

0.94%

95% interval 0.00% to 1.88%

Next year

0.94%

95% interval −0.01% to 1.88%

Next five years

0.93%

95% interval −0.04% to 1.90%

Next quarter

1.74%

95% interval 0.68% to 2.99%

Next year

1.69%

95% interval 0.69% to 2.82%

Next five years

1.55%

95% interval 0.64% to 2.51%

Cumulative market-adjusted return

+639% since 1963Q3 · log scale

Window	Mean	Vol.	Sharpe	t
1963Q3–2024Q4	4.24%	14.22%	0.30	2.34
2020Q1–2024Q4	9.62%	13.11%	0.73	1.64
2024Q1–2024Q4	4.03%	4.30%	0.94	0.94
1963Q3–2024Q4	6.30%	12.67%	0.50	3.90
2020Q1–2024Q4	21.92%	17.79%	1.23	2.75
2024Q1–2024Q4	15.12%	15.03%	1.01	1.01
1963Q3–2024Q4	4.15%	15.83%	0.26	2.06
2020Q1–2024Q4	12.46%	18.59%	0.67	1.50
2024Q1–2024Q4	−6.44%	6.83%	−0.94	−0.94
1963Q3–2024Q4	6.68%	14.57%	0.46	3.60
2020Q1–2024Q4	21.74%	22.30%	0.97	2.18
2024Q1–2024Q4	12.85%	16.30%	0.79	0.79

Horizon	Mean	95% interval	P(neg)
Next quarter	0.138	0.018 – 0.257	0.01
Next year	0.137	0.017 – 0.257	0.01
Next five years	0.134	0.009 – 0.259	0.02
Next quarter	0.265	0.109 – 0.458	0.00
Next year	0.256	0.112 – 0.426	0.00
Next five years	0.232	0.105 – 0.366	0.00
Next quarter	0.118	0.000 – 0.237	0.02
Next year	0.118	−0.001 – 0.238	0.03
Next five years	0.118	−0.005 – 0.240	0.03
Next quarter	0.239	0.093 – 0.412	0.00
Next year	0.232	0.095 – 0.389	0.00
Next five years	0.213	0.087 – 0.345	0.00