Research and publications

What Do Measures Of Real-Time Corporate Sales Tell Us About Earnings Surprises And Post-Announcement Returns?

We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain information from both the earnings quarter (“within quar ...

Author(s) :

Kenneth Froot, Namhco Kang, Gideon Ozik, Ronnie Sadka

Summary :

We develop real-time proxies of retail corporate sales from multiple sources, including ~50 million mobile devices. These measures contain information from both the earnings quarter (“within quarter”) and the period between that quarter’s end and the earnings announcement date (“post quarter”). Our within-quarter measure is powerful in explaining quarterly sales growth, revenue surprises and earnings surprises, generating average excess announcement returns of 3.4%. However, surprisingly, our post-quarter measure is negatively related to announcement returns, and positively to post-announcement returns. 

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Type : Working paper
Date : 11/08/2016
Keywords :

Corporate Finance