What Do Measures of Real-time Corporate Sales Tell Us about Earnings Surprises and Post-Announcement Returns?
NBER Working Paper No. 22366
---- Acknowledgements ----
We thank an anonymous referee, Daniel Cohen, Robert Korajczyk, Charles-Albert Lehalle (discussant), Xiaoxia Lou, Gil Sadka, and the seminar participants at University of Connecticut, Tel-Aviv University, York University, Cubist Systematic Strategies, State Street Innovation Symposium, and 8th Annual Hedge Fund Research Conference for helpful comments and suggestions. We thank MKT MediaStats, LLC for generously providing data. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.