University of Connecticut
NBER Working Papers and Publications
|June 2016||What Do Measures of Real-time Corporate Sales Tell Us about Earnings Surprises and Post-Announcement Returns?|
with Kenneth Froot, Gideon Ozik, Ronnie Sadka: w22366
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 returns at announcement of 3.4%. However, surprisingly, our post-quarter measure is related negatively to announcement returns, and positively to post-announcement returns. When post-quarter private information is directionally strong, managers, at announcement, provide guidance and use language that points statistically in the opposite direction. This eff...