A Tough Act to Follow: Contrast Effects in Financial Markets Samuel - - PowerPoint PPT Presentation

A Tough Act to Follow: Contrast Effects in Financial Markets Samuel Hartzmark University of Chicago

May 20, 2016

❈♦♥tr❛st ❡✛❡❝ts

❈♦♥tr❛st ❡✛❡❝ts✿ ❱❛❧✉❡ ♦❢ ♣r❡✈✐♦✉s❧②✲♦❜s❡r✈❡❞ s✐❣♥❛❧ ✐♥✈❡rs❡❧② ❜✐❛s❡s ♣❡r❝❡♣t✐♦♥ ♦❢ t❤❡ ♥❡①t s✐❣♥❛❧ ❆❜✉♥❞❛♥t ❡①♣❡r✐♠❡♥t❛❧ ❡✈✐❞❡♥❝❡ ✐♥ ♣s②❝❤♦❧♦❣②

• ❈r✐♠❡s ✈✐❡✇❡❞ ❛s ❧❡ss s❡r✐♦✉s ❛❢t❡r ❡①♣♦s✉r❡ t♦ ♠♦r❡ ❡❣r❡❣✐♦✉s ❝r✐♠❡s

✭P❡♣✐t♦♥❡ ❛♥❞ ❉✐◆✉❜✐❧❡ ✶✾✼✻✮

• ▼❡♥ r❛t❡ ❢❡♠❛❧❡ st✉❞❡♥ts ❛s ❧❡ss ❛ttr❛❝t✐✈❡ ✐❢ t❤❡ ♠❡♥ r❡❝❡♥t❧② ✈✐❡✇❡❞

♣✐❝t✉r❡s ♦❢ ✈❡r② ❜❡❛✉t✐❢✉❧ ❛❝tr❡ss❡s ✭❑❡♥r✐❝❦ ❛♥❞ ●✉t✐❡rr❡s ✶✾✽✵✮ ❈♦♥tr❛st ❡✛❡❝ts ✐♥ ♣♦♣✉❧❛r ❝✉❧t✉r❡

• ✏❆ t♦✉❣❤ ❛❝t t♦ ❢♦❧❧♦✇✑ ✴ ✏P❛❧❡ ✐♥ ❝♦♠♣❛r✐s♦♥✑
• ▲✐t❡r❛r② ❢♦✐❧s
• ✏❯❣❧② ❢r✐❡♥❞✑ ♠❛❦❡s ②♦✉ ❧♦♦❦ ❤♦tt❡r

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷ ✴ ✹✷

❈♦♥tr❛st ❡✛❡❝ts ✐♥ ♣❡r❝❡♣t✐♦♥

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸ ✴ ✹✷

❈♦♥tr❛st ❡✛❡❝ts ✐♥ ♣❡r❝❡♣t✐♦♥

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸ ✴ ✹✷

❈♦♥tr❛st ❡✛❡❝ts ✐♥ ♣❡r❝❡♣t✐♦♥

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✹ ✴ ✹✷

❈♦♥tr❛st ❡✛❡❝ts ✐♥ ♣❡r❝❡♣t✐♦♥

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✹ ✴ ✹✷

P♦t❡♥t✐❛❧ r❡❛❧✲✇♦r❧❞ ✐♠♣❧✐❝❛t✐♦♥s ♦❢ ❝♦♥tr❛st ❡✛❡❝ts

❈♦♥tr❛st ❡✛❡❝ts ❝♦✉❧❞ ❧❡❛❞ t♦ ♠✐st❛❦❡s ✐♥✿

• ❍✐r✐♥❣ ❛♥❞ ♣r♦♠♦t✐♦♥ ❞❡❝✐s✐♦♥s
• ■♥✈❡st♠❡♥t ❞❡❝✐s✐♦♥s

◮ ■♥✈❡st ✐♥ ❛ ❜❛❞ ♣r♦❥❡❝t ❜❡❝❛✉s❡ ✐t ❧♦♦❦s ❜❡tt❡r t❤❛♥ t❤❡ ♦t❤❡rs

• ❏✉❞✐❝✐❛❧ ❞❡❝✐s✐♦♥s
• ❍♦✉s❡❤♦❧❞ ❝♦♥s✉♠♣t✐♦♥✱ r❡❛❧ ❡st❛t❡✱ ♠❛t❡ ❝❤♦✐❝❡ ❞❡❝✐s✐♦♥s

❍❛r❞ t♦ ♠❡❛s✉r❡ ✐♥❢♦r♠❛t✐♦♥ ❛♥❞ ♣❡r❝❡♣t✐♦♥ ♦❢ ✐♥❢♦r♠❛t✐♦♥ ❍❛r❞ t♦ t❡❛s❡ ❝♦♥tr❛st ❡✛❡❝ts ❛♣❛rt ❢r♦♠ q✉♦t❛s ♦r r❡s♦✉r❝❡ ❝♦♥str❛✐♥ts ❆❜✉♥❞❛♥t ❧❛❜ ❡✈✐❞❡♥❝❡✱ ❜✉t ✜❡❧❞ ❡✈✐❞❡♥❝❡ ✐s ✈❡r② ❧✐♠✐t❡❞

• ❇❤❛r❣❛✈❛ ❛♥❞ ❋✐s♠❛♥ ✭✷✵✶✸✮✿ ❙♣❡❡❞ ❞❛t✐♥❣
• ❙✐♠♦♥s♦❤♥ ❛♥❞ ▲♦❡✇❡♥st❡✐♥ ✭✷✵✵✻✮✿ ❍♦✉s✐♥❣ ❝❤♦✐❝❡

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✺ ✴ ✹✷

❈♦♥tr❛st ❡✛❡❝ts ✐♥ ✜♥❛♥❝✐❛❧ ♠❛r❦❡ts

❚❤✐s ♣❛♣❡r✿ ❉♦ ❝♦♥tr❛st ❡✛❡❝ts ♠❛tt❡r ❢♦r ♣r✐❝❡s ✐♥ ✜♥❛♥❝✐❛❧ ♠❛r❦❡ts❄ ❘❡❧❛t✐✈❡ t♦ ❡①✐st✐♥❣ ❧❛❜♦r❛t♦r② ❛♥❞ ❧✐♠✐t❡❞ ✜❡❧❞ ❡✈✐❞❡♥❝❡

• ❋✉❧❧✲t✐♠❡ ♣r♦❢❡ss✐♦♥❛❧s ♠❛❦✐♥❣ r❡♣❡❛t❡❞ ❞❡❝✐s✐♦♥s ✇✐t❤ ❤✐❣❤ st❛❦❡s
• ❊q✉✐❧✐❜r✐✉♠ ♣r✐❝❡s ❞❡t❡r♠✐♥❡❞ t❤r♦✉❣❤ ✐♥t❡r❛❝t✐♦♥s ❛♠♦♥❣ ♠❛♥②

✐♥✈❡st♦rs ■❢ ❝♦♥tr❛st ❡✛❡❝ts ✐♠♣❛❝t ✜♥❛♥❝✐❛❧ ♠❛r❦❡ts

• ■♠♣❧✐❡s t❤❛t ♣r✐❝❡s r❡❛❝t ♥♦t ♦♥❧② t♦ t❤❡ ❛❜s♦❧✉t❡ ❝♦♥t❡♥t ♦❢ ♥❡✇s✱ ❜✉t

❛❧s♦ t♦ t❤❡ r❡❧❛t✐✈❡ ❝♦♥t❡♥t ♦❢ ♥❡✇s

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✻ ✴ ✹✷

❈♦♥tr❛st ❡✛❡❝ts ❛♥❞ ❡❛r♥✐♥❣s ❛♥♥♦✉♥❝❡♠❡♥ts

◗✉❛rt❡r❧② ❡❛r♥✐♥❣s ♦✛❡rs ❛♥ ✐❞❡❛❧ r❡❛❧ ✇♦r❧❞ t❡st ♦❢ ❝♦♥tr❛st ❡✛❡❝ts

• ■♠♣♦rt❛♥t s❛❧✐❡♥t ♥❡✇s ❡✈❡♥t
• ❆♥♥♦✉♥❝❡♠❡♥ts ❛r❡ s❝❤❡❞✉❧❡❞ ✇❡❡❦s ✐♥ ❛❞✈❛♥❝❡✱ s♦ ✇❤❡t❤❡r ❛ ✜r♠

❛♥♥♦✉♥❝❡s ❢♦❧❧♦✇✐♥❣ ♣♦s✐t✐✈❡ ♦r ♥❡❣❛t✐✈❡ s✉r♣r✐s❡s ❜② ♦t❤❡rs ✐s ❧✐❦❡❧② t♦ ❜❡ ✉♥❝♦rr❡❧❛t❡❞ ✇✐t❤ t❤❡ ✜r♠✬s ❢✉♥❞❛♠❡♥t❛❧s ❈♦♥tr❛st ❡✛❡❝ts = ⇒ ◆❡❣❛t✐✈❡ r❡❧❛t✐♦♥ ❜❡t✇❡❡♥ ②❡st❡r❞❛②✬s ❡❛r♥✐♥❣s s✉r♣r✐s❡ ❛♥❞ t❤❡ r❡t✉r♥ r❡❛❝t✐♦♥ t♦ t♦❞❛②✬s ❡❛r♥✐♥❣s ♥❡✇s✱ ❤♦❧❞✐♥❣ t♦❞❛②✬s ❡❛r♥✐♥❣s ♥❡✇s ❝♦♥st❛♥t

• ❆ ❤✐❣❤ s✉r♣r✐s❡ ②❡st❡r❞❛② ♠❛❦❡s ❛♥② s✉r♣r✐s❡ t♦❞❛② ❧♦♦❦ s❧✐❣❤t❧② ✇♦rs❡

t❤❛♥ t❤❡ s❛♠❡ s✉r♣r✐s❡ t♦❞❛② ✇♦✉❧❞ ❛♣♣❡❛r ✐❢ ②❡st❡r❞❛②✬s s✉r♣r✐s❡ ❤❛❞ ❜❡❡♥ ❧♦✇❡r

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✼ ✴ ✹✷

❚❤❡ ♣❛♣❡r ✐♥ ♦♥❡ ♣✐❝t✉r❡

• .5

.5 Return % [t-1,t+1]

• .0075
• .005
• .0025

.0025 .005 .0075 Previous day's earnings surprise: Surpriset-1

❘❡t✉r♥s ♦❢ ✜r♠s t❤❛t ❛♥♥♦✉♥❝❡❞ ❡❛r♥✐♥❣s t♦❞❛② ✈s✳ ❛✈❡r❛❣❡ ❡❛r♥✐♥❣s s✉r♣r✐s❡ ♦❢ ❧❛r❣❡ ✜r♠s t❤❛t ❛♥♥♦✉♥❝❡❞ ②❡st❡r❞❛② ✭❝♦♥❞✐t✐♦♥❛❧ ♦♥ ♦✇♥ ❡❛r♥✐♥❣s s✉r♣r✐s❡✮

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✽ ✴ ✹✷

Pr❡✈✐❡✇ ♦❢ r❡s✉❧ts

❈♦♥tr❛st ❡✛❡❝ts ❤❛✈❡ ❛ ❧❛r❣❡ ♣r❡❞✐❝t❛❜❧❡ ✐♠♣❛❝t ♦♥ ♣r✐❝❡ r❡❛❝t✐♦♥s

• ✺✸ ❜❛s✐s ♣♦✐♥ts ❢r♦♠ ❧♦✇❡st t♦ ❤✐❣❤❡st ❞❡❝✐❧❡

◮ ❚r❛❞✐♥❣ str❛t❡❣② ②✐❡❧❞s ✼✲✶✺✪ ❛♥♥✉❛❧ ❛❜♥♦r♠❛❧ r❡t✉r♥s

• ❙tr♦♥❣ ❡✛❡❝ts ❡✈❡♥ ✐♥ r❡❝❡♥t ②❡❛rs ❛♥❞ ❢♦r ❧❛r❣❡ ✜r♠s
• ●r❡❛t❡r ❧❛❣s ❛♥❞ ❧❡❛❞s ❞♦ ♥♦t ❤❛✈❡ ❛ s✐♠✐❧❛r ✐♠♣❛❝t
• ❆♣♣❧✐❡s ✇✐t❤✐♥ t❤❡ s❛♠❡ ❞❛② ✭❛❢t❡r♥♦♦♥ ✈s✳ ♠♦r♥✐♥❣ ❛♥♥♦✉♥❝❡♠❡♥ts✮
• ▼✐s♣r✐❝✐♥❣ r❡✈❡rs❡s ♦✈❡r t✐♠❡

❱❡r② ✉♥❧✐❦❡❧② t♦ ❜❡ ❡①♣❧❛✐♥❡❞ ❜② ✐♥❢♦r♠❛t✐♦♥ tr❛♥s♠✐ss✐♦♥

• ❯s❡ ❝✉♠✉❧❛t✐✈❡ r❡t✉r♥s st❛rt✐♥❣ ❜❡❢♦r❡ t −✶ ❢♦r ✜r♠ ❛♥♥♦✉♥❝✐♥❣ ♦♥ t
• t −✶ s✉r♣r✐s❡ ❞♦❡s ♥♦t ♣r❡❞✐❝t t s✉r♣r✐s❡ ♦r r❡t✉r♥ r❡❛❝t✐♦♥ ♦♥ t −✶
• ▼✉❝❤ ♠♦r❡✳✳✳

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✾ ✴ ✹✷

❖✉t❧✐♥❡

✶ ❊♠♣✐r✐❝❛❧ ♠❡t❤♦❞♦❧♦❣② ✷ ❇❛s❡❧✐♥❡ r❡s✉❧ts ✸ P♦t❡♥t✐❛❧ ❛❧t❡r♥❛t✐✈❡ ❡①♣❧❛♥❛t✐♦♥s ✹ ❯♥❝♦♥❞✐t✐♦♥❛❧ r❡s✉❧ts ❛♥❞ tr❛❞✐♥❣ str❛t❡❣② ✺ ❍❡t❡r♦❣❡♥❡✐t② ❛♥❞ r♦❜✉st♥❡ss

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✾ ✴ ✹✷

❖✉t❧✐♥❡

✶ ❊♠♣✐r✐❝❛❧ ♠❡t❤♦❞♦❧♦❣② ✷ ❇❛s❡❧✐♥❡ r❡s✉❧ts ✸ P♦t❡♥t✐❛❧ ❛❧t❡r♥❛t✐✈❡ ❡①♣❧❛♥❛t✐♦♥s ✹ ❯♥❝♦♥❞✐t✐♦♥❛❧ r❡s✉❧ts ❛♥❞ tr❛❞✐♥❣ str❛t❡❣② ✺ ❍❡t❡r♦❣❡♥❡✐t② ❛♥❞ r♦❜✉st♥❡ss

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✾ ✴ ✹✷

▼❡❛s✉r✐♥❣ ❡❛r♥✐♥❣s s✉r♣r✐s❡

❊❛r♥✐♥❣s s✉r♣r✐s❡✿ ❉✐✛❡r❡♥❝❡ ❜❡t✇❡❡♥ ❛♥♥♦✉♥❝❡❞ ❡❛r♥✐♥❣s ❛♥❞ ✐♥✈❡st♦r ❡①♣❡❝t❛t✐♦♥s surpriseit = actual earningsit −median forecasti,[t−✶✺,t−✷] pricei,t−✸ ▼✉❧t✐♣❧❡ ✜r♠s ♠❛② r❡❧❡❛s❡ ❡❛r♥✐♥❣s ✐♥ t −✶✱ s♦ ✇❤✐❝❤ ♦♥❡s ❛r❡ s❛❧✐❡♥t❄

• ▲❛r❣❡ ✜r♠s ✭≥ ◆❨❙❊ ✾✵t❤ ♣❡r❝❡♥t✐❧❡ ♦❢ ♠❛r❦❡t ❝❛♣✮✱ ✈❛❧✉❡✲✇❡✐❣❤t❡❞

surpriset−✶ =

N

∑

i=✶ MktCapi,t−✹·surprisei,t−✶ N

∑

i=✶ MktCapi,t−✹

❆❧t❡r♥❛t✐✈❡ ♠❡❛s✉r❡✿ r❡t✉r♥s r❡❛❝t✐♦♥ ♦❢ ✜r♠s ❛♥♥♦✉♥❝✐♥❣ ♦♥ t −✶

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✵ ✴ ✹✷

❇❛s❡❧✐♥❡ s♣❡❝✐✜❝❛t✐♦♥

❍♦✇ ❛r❡ r❡t✉r♥s t♦ ❛♥ ❛♥♥♦✉♥❝❡♠❡♥t ♦♥ ❞❛② t ✐♠♣❛❝t❡❞ ❜② t❤❡ s❛❧✐❡♥t s✉r♣r✐s❡ ❢r♦♠ t −✶❄ reti,[t−✶,t+✶] = β✵ +β✶surpriset−✶ +own surprise bin +δym +εit

• own surprise bin✿ ✷✵ ❜✐♥s ❢♦r ♦✇♥ ❛♥♥♦✉♥❝❡❞ s✉r♣r✐s❡ ♦♥ ❞❛② t
• δym✿ ❨❡❛r✲♠♦♥t❤ ✜①❡❞ ❡✛❡❝ts
• ❱❛❧✉❡✲✇❡✐❣❤t❡❞ ❛♥❞ st❛♥❞❛r❞ ❡rr♦rs ❝❧✉st❡r❡❞ ❜② ❞❛t❡
• reti,[t−✶,t+✶]✿ ❈✉♠✉❧❛t✐✈❡ t −✷ ♠❛r❦❡t ❝❧♦s❡ t♦ t +✶ ♠❛r❦❡t ❝❧♦s❡

◮ ❈❤❛r❛❝t❡r✐st✐❝ ❛❞❥✉st❡❞✱ ❡①❝❧✉❞❡ ✜r♠ ❛♥♥♦✉♥❝✐♥❣ ♦♥ t ♦r t −✶ ❢r♦♠

❝❤❛r❛❝t❡r✐st✐❝ ♣♦rt❢♦❧✐♦

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✶ ✴ ✹✷

❖✉t❧✐♥❡

✶ ❊♠♣✐r✐❝❛❧ ♠❡t❤♦❞♦❧♦❣② ✷ ❇❛s❡❧✐♥❡ r❡s✉❧ts ✸ P♦t❡♥t✐❛❧ ❛❧t❡r♥❛t✐✈❡ ❡①♣❧❛♥❛t✐♦♥s ✹ ❯♥❝♦♥❞✐t✐♦♥❛❧ r❡s✉❧ts ❛♥❞ tr❛❞✐♥❣ str❛t❡❣② ✺ ❍❡t❡r♦❣❡♥❡✐t② ❛♥❞ r♦❜✉st♥❡ss

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✶ ✴ ✹✷

❇❛s❡❧✐♥❡ r❡s✉❧ts

reti,[t−✶,t+✶] = β✵ +β✶surpriset−✶ +own surprise bin +δym +εit

Return [t −✶,t +✶] (1) (2) (3) (4) (5) (6) Surpriset−✶ of largest firm

• 0.617∗∗∗
• 0.422∗∗

(0.179) (0.188) Surpriset−✶ large firms, EW mean

• 1.075∗∗∗
• 0.944∗∗∗

(0.255) (0.277) Surpriset−✶ large firms, VW mean

• 0.945∗∗∗
• 0.887∗∗∗

(0.225) (0.244) Own surpriseit controls Yes Yes Yes Yes Yes Yes Year-month FE No Yes No Yes No Yes R✷ 0.0587 0.0833 0.0592 0.0838 0.0591 0.0838 Observations 75923 75923 75923 75923 75923 75923

❈♦❧✉♠♥ ✻✿ ❆ ❝❤❛♥❣❡ ✐♥ ②❡st❡r❞❛②✬s ❡❛r♥✐♥❣s s✉r♣r✐s❡ ❢r♦♠ t❤❡ ❧♦✇❡st t♦ ❤✐❣❤❡st ❞❡❝✐❧❡ ✺✸ ❜♣ ❧♦✇❡r r❡t✉r♥ r❡s♣♦♥s❡ t♦ t♦❞❛②✬s ❡❛r♥✐♥❣s ❛♥♥♦✉♥❝❡♠❡♥t

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✷ ✴ ✹✷

❇❛s❡❧✐♥❡ r❡s✉❧ts

reti,[t−✶,t+✶] = β✵ +β✶surpriset−✶ +own surprise bin +δym +εit

Return [t −✶,t +✶] (1) (2) (3) (4) (5) (6) Surpriset−✶ of largest firm

• 0.617∗∗∗
• 0.422∗∗

(0.179) (0.188) Surpriset−✶ large firms, EW mean

• 1.075∗∗∗
• 0.944∗∗∗

(0.255) (0.277) Surpriset−✶ large firms, VW mean

• 0.945∗∗∗
• 0.887∗∗∗

(0.225) (0.244) Own surpriseit controls Yes Yes Yes Yes Yes Yes Year-month FE No Yes No Yes No Yes R✷ 0.0587 0.0833 0.0592 0.0838 0.0591 0.0838 Observations 75923 75923 75923 75923 75923 75923

❈♦❧✉♠♥ ✻✿ ❆ ❝❤❛♥❣❡ ✐♥ ②❡st❡r❞❛②✬s ❡❛r♥✐♥❣s s✉r♣r✐s❡ ❢r♦♠ t❤❡ ❧♦✇❡st t♦ ❤✐❣❤❡st ❞❡❝✐❧❡ = ⇒ ✺✸ ❜♣ ❧♦✇❡r r❡t✉r♥ r❡s♣♦♥s❡ t♦ t♦❞❛②✬s ❡❛r♥✐♥❣s ❛♥♥♦✉♥❝❡♠❡♥t

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✷ ✴ ✹✷

❇❛s❡❧✐♥❡ ❣r❛♣❤

• .5

.5 Return % [t-1,t+1]

• .0075
• .005
• .0025

.0025 .005 .0075 Previous day's earnings surprise: Surpriset-1

❘❡t✉r♥s ♦❢ ✜r♠s t❤❛t ❛♥♥♦✉♥❝❡❞ ❡❛r♥✐♥❣s t♦❞❛② ✈s✳ ❛✈❡r❛❣❡ ❡❛r♥✐♥❣s s✉r♣r✐s❡ ♦❢ ❧❛r❣❡ ✜r♠s t❤❛t ❛♥♥♦✉♥❝❡❞ ②❡st❡r❞❛② ✭❝♦♥❞✐t✐♦♥❛❧ ♦♥ ♦✇♥ ❡❛r♥✐♥❣s s✉r♣r✐s❡✮

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✸ ✴ ✹✷

❘❡❛❝t✐♦♥ t♦ ♦✇♥ s✉r♣r✐s❡✱ ❝♦♥❞✐t✐♦♥❛❧ ♦♥ surpriset−✶

• 3
• 2
• 1

1 2 3 Return % [t-1,t+1] 20 40 60 80 100 Firm's own surprise (percentile rank) Surpriset-1 lowest decile Surpriset-1 highest decile

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✹ ✴ ✹✷

P♦t❡♥t✐❛❧ ✐♥t❡r❛❝t✐♦♥ ❡✛❡❝ts

Return [t −✶,t +✶] (1) (2) (3) Surpriset−✶

• 0.935∗∗∗
• 1.482∗∗∗
• 1.502∗∗

(0.256) (0.525) (0.677) Surpriset−✶ x own surprise 17.79 (38.11) Surpriset−✶ x own surprise (20 bins) 0.0660 (0.0483) Surpriset−✶ x own surprise quintile 2 0.296 (0.877) Surpriset−✶ x own surprise quintile 3 0.811 (0.903) Surpriset−✶ x own surprise quintile 4 0.986 (0.811) Surpriset−✶ x own surprise quintile 5 0.849 (1.023) Year-month FE Yes Yes Yes R✷ 0.0375 0.0809 0.0801 Observations 75923 75923 75923

• ◆♦ s✐❣♥✐✜❝❛♥t ✐♥t❡r❛❝t✐♦♥ ❜❡t✇❡❡♥ ②❡st❡r❞❛②✬s ❛♥❞ t♦❞❛②✬s s✉r♣r✐s❡
• ❙✐♠♣❧❡ ❞✐r❡❝t✐♦♥❛❧ ❡✛❡❝t✿ ❤✐❣❤❡r surpriset−✶ ♠❛❦❡s ❛♥② s✉r♣r✐s❡ t♦❞❛②

❧♦♦❦ s❧✐❣❤t❧② ✇♦rs❡ t❤❛♥ ✐t ✇♦✉❧❞ ❛♣♣❡❛r ✐❢ surpriset−✶ ❤❛❞ ❜❡❡♥ ❧♦✇❡r

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✺ ✴ ✹✷

▲♦♥❣❡r ❧❛❣s ❛♥❞ ❧❡❛❞s

❊①♣❡r✐♠❡♥t❛❧ st✉❞✐❡s ♦❢ ❝♦♥tr❛st ❡✛❡❝ts s✉❣❣❡st t❤❛t ✐♥❞✐✈✐❞✉❛❧s r❡❛❝t ♠♦r❡ str♦♥❣❧② t♦ ♠♦r❡ r❡❝❡♥t ♦❜s❡r✈❛t✐♦♥s ❋♦r ❡❛r♥✐♥❣s s✉r♣r✐s❡s✱ ✇❡ ❡①♣❡❝t t❤❛t t❤❡ t −✶ s❛❧✐❡♥t s✉r♣r✐s❡ ✇✐❧❧ ♠❛tt❡r ♠♦r❡ t❤❛♥✿

• ▲❛❣s t −✷ ❛♥❞ t −✸
• ▲❡❛❞s t +✶ ❛♥❞ t +✷

❲❡ ❡①t❡♥❞ t❤❡ r❡t✉r♥ ✇✐♥❞♦✇ t♦ ❝♦✈❡r t❤❡ ❡♥t✐r❡ ♣❡r✐♦❞ ❡①❛♠✐♥❡❞

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✻ ✴ ✹✷

▲♦♥❣❡r ❧❛❣s ❛♥❞ ❧❡❛❞s

Longer lags and leads (1) (2) Surpriset−✸

• 0.332

(0.215) Surpriset−✷ 0.124 (0.268) Surpriset−✶

• 0.841∗∗∗
• 0.875∗∗∗

(0.272) (0.310) Surpriset+✶ 0.199 (0.387) Surpriset+✷

• 0.101

(0.394) p-value: (t-3) = (t-1) 0.0931 p-value: (t-2) = (t-1) 0.00591 p-value: (t+1) = (t-1) 0.0260 p-value: (t+2) = (t-1) 0.118 Own surpriseit controls Yes Yes Year-month FE Yes Yes R✷ 0.0824 0.0727 Observations 75870 75885 ❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✼ ✴ ✹✷

▲♦♥❣❡r ❧❛❣s ❛♥❞ ❧❡❛❞s

Longer lags and leads (1) (2) Surpriset−✸

• 0.332

(0.215) Surpriset−✷ 0.124 (0.268) Surpriset−✶

• 0.841∗∗∗
• 0.875∗∗∗

(0.272) (0.310) Surpriset+✶ 0.199 (0.387) Surpriset+✷

• 0.101

(0.394) p-value: (t-3) = (t-1) 0.0931 p-value: (t-2) = (t-1) 0.00591 p-value: (t+1) = (t-1) 0.0260 p-value: (t+2) = (t-1) 0.118 Own surpriseit controls Yes Yes Year-month FE Yes Yes R✷ 0.0824 0.0727 Observations 75870 75885

• ❙tr♦♥❣ ❝♦♥tr❛st ❡✛❡❝t ❢♦r t −✶

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✼ ✴ ✹✷

▲♦♥❣❡r ❧❛❣s ❛♥❞ ❧❡❛❞s

Longer lags and leads (1) (2) Surpriset−✸

• 0.332

(0.215) Surpriset−✷ 0.124 (0.268) Surpriset−✶

• 0.841∗∗∗
• 0.875∗∗∗

(0.272) (0.310) Surpriset+✶ 0.199 (0.387) Surpriset+✷

• 0.101

(0.394) p-value: (t-3) = (t-1) 0.0931 p-value: (t-2) = (t-1) 0.00591 p-value: (t+1) = (t-1) 0.0260 p-value: (t+2) = (t-1) 0.118 Own surpriseit controls Yes Yes Year-month FE Yes Yes R✷ 0.0824 0.0727 Observations 75870 75885

• ❙tr♦♥❣ ❝♦♥tr❛st ❡✛❡❝t ❢♦r t −✶
• ❲❡❛❦ ❛♥❞ ✐♥❝♦♥s✐st❡♥t ❡✛❡❝ts ❛t

♣r✐♦r ❧❛❣s

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✼ ✴ ✹✷

▲♦♥❣❡r ❧❛❣s ❛♥❞ ❧❡❛❞s

Longer lags and leads (1) (2) Surpriset−✸

• 0.332

(0.215) Surpriset−✷ 0.124 (0.268) Surpriset−✶

• 0.841∗∗∗
• 0.875∗∗∗

(0.272) (0.310) Surpriset+✶ 0.199 (0.387) Surpriset+✷

• 0.101

(0.394) p-value: (t-3) = (t-1) 0.0931 p-value: (t-2) = (t-1) 0.00591 p-value: (t+1) = (t-1) 0.0260 p-value: (t+2) = (t-1) 0.118 Own surpriseit controls Yes Yes Year-month FE Yes Yes R✷ 0.0824 0.0727 Observations 75870 75885

• ❙tr♦♥❣ ❝♦♥tr❛st ❡✛❡❝t ❢♦r t −✶
• ❲❡❛❦ ❛♥❞ ✐♥❝♦♥s✐st❡♥t ❡✛❡❝ts ❛t

♣r✐♦r ❧❛❣s

• ❲❡❛❦ ❛♥❞ ✐♥❝♦♥s✐st❡♥t ❡✛❡❝ts

❢✉rt❤❡r ✐♥ t❤❡ ❢✉t✉r❡

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✼ ✴ ✹✷

❙❛♠❡ ❞❛② ❝♦♥tr❛st ❡✛❡❝ts

▼♦st ❡❛r♥✐♥❣s ❛♥♥♦✉♥❝❡♠❡♥ts ❛r❡ ♠❛❞❡ ❡✐t❤❡r s❤♦rt❧② ❜❡❢♦r❡ ♠❛r❦❡t ♦♣❡♥ ✭❆▼✮ ♦r s❤♦rt❧② ❛❢t❡r ♠❛r❦❡t ❝❧♦s❡ ✭P▼✮

• ❙♦♠❡ ✜r♠s ❞♦ ♥♦t ♣r❡s❝❤❡❞✉❧❡ t❤❡ ❡①❛❝t ❛♥♥♦✉♥❝❡♠❡♥t t✐♠❡✱ s♦ ✇❡

♣r❡s❡♥t t❤✐s ❛s s✉♣♣❧❡♠❡♥t❛r② ❛♥❛❧②s✐s ❙❛❧✐❡♥t ❆▼ s✉r♣r✐s❡s s❤♦✉❧❞ ♥❡❣❛t✐✈❡❧② ✐♠♣❛❝t t❤❡ r❡t✉r♥ r❡s♣♦♥s❡ ❢♦r ✜r♠s t❤❛t ❛♥♥♦✉♥❝❡ ❧❛t❡r ✐♥ t❤❡ ❛❢t❡r♥♦♦♥ ■♥ t❤❡♦r②✱ s❛❧✐❡♥t P▼ s✉r♣r✐s❡s ❝♦✉❧❞ ❛❧s♦ ♥❡❣❛t✐✈❡❧② ✐♠♣❛❝t t❤❡ ✭✷✲❞❛②✮ r❡t✉r♥ r❡s♣♦♥s❡ ❢♦r ✜r♠s t❤❛t ❛♥♥♦✉♥❝❡❞ ❡❛r❧✐❡r ✐♥ t❤❡ ❆▼

• ❇✉t✱ ✇♦✉❧❞ r❡q✉✐r❡ ✐♥✈❡st♦rs t♦ r❡✈✐s❡ t❤❡✐r ✐♥✐t✐❛❧ ♣❡r❝❡♣t✐♦♥s ♦❢ ❆▼

❛♥♥♦✉♥❝❡♠❡♥ts ✐♥ ❧✐❣❤t ♦❢ s✉❜s❡q✉❡♥t P▼ ❛♥♥♦✉♥❝❡♠❡♥ts

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✽ ✴ ✹✷

❙❛♠❡ ❞❛② ❝♦♥tr❛st ❡✛❡❝ts

Own PM announcement Own AM announcement (1) (2) AM surprise of others

• 1.472∗∗

(0.673) PM surprise of others

• 0.417

(0.312) Own surpriseit controls Yes Yes Year-month FE Yes Yes R✷ 0.161 0.107 Observations 19346 17874

❆▼ s✉r♣r✐s❡s ❞✐st♦rt r❡t✉r♥ r❡❛❝t✐♦♥s t♦ P▼ ❛♥♥♦✉♥❝❡♠❡♥ts P▼ s✉r♣r✐s❡s ❞♦ ♥♦t s✐❣♥✐✜❝❛♥t❧② ❛✛❡❝t r❡t✉r♥ r❡❛❝t✐♦♥s t♦ ❆▼ ❛♥♥♦✉♥❝❡♠❡♥ts

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✾ ✴ ✹✷

❙❛♠❡ ❞❛② ❝♦♥tr❛st ❡✛❡❝ts

Own PM announcement Own AM announcement (1) (2) AM surprise of others

• 1.472∗∗

(0.673) PM surprise of others

• 0.417

(0.312) Own surpriseit controls Yes Yes Year-month FE Yes Yes R✷ 0.161 0.107 Observations 19346 17874

• ❆▼ s✉r♣r✐s❡s ❞✐st♦rt

r❡t✉r♥ r❡❛❝t✐♦♥s t♦ P▼ ❛♥♥♦✉♥❝❡♠❡♥ts P▼ s✉r♣r✐s❡s ❞♦ ♥♦t s✐❣♥✐✜❝❛♥t❧② ❛✛❡❝t r❡t✉r♥ r❡❛❝t✐♦♥s t♦ ❆▼ ❛♥♥♦✉♥❝❡♠❡♥ts

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✾ ✴ ✹✷

❙❛♠❡ ❞❛② ❝♦♥tr❛st ❡✛❡❝ts

Own PM announcement Own AM announcement (1) (2) AM surprise of others

• 1.472∗∗

(0.673) PM surprise of others

• 0.417

(0.312) Own surpriseit controls Yes Yes Year-month FE Yes Yes R✷ 0.161 0.107 Observations 19346 17874

• ❆▼ s✉r♣r✐s❡s ❞✐st♦rt

r❡t✉r♥ r❡❛❝t✐♦♥s t♦ P▼ ❛♥♥♦✉♥❝❡♠❡♥ts

• P▼ s✉r♣r✐s❡s ❞♦ ♥♦t

s✐❣♥✐✜❝❛♥t❧② ❛✛❡❝t r❡t✉r♥ r❡❛❝t✐♦♥s t♦ ❆▼ ❛♥♥♦✉♥❝❡♠❡♥ts

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✶✾ ✴ ✹✷

▲♦♥❣ r✉♥ r❡✈❡rs❛❧s

❈♦♥tr❛st ❡✛❡❝ts ❛r❡ ❛ ❜✐❛s ✐♥ ✐♥❢♦r♠❛t✐♦♥ ♣r♦❝❡ss✐♥❣ ■❢ ♣r✐❝❡s ❡✈❡♥t✉❛❧❧② ❝♦♥✈❡r❣❡ t♦ ❢✉♥❞❛♠❡♥t❛❧s

• ❲❡ ❡①♣❡❝t t♦ s❡❡ t❤❡ ❝♦♥tr❛st ❡✛❡❝t r❡✈❡rs❡ ♦✈❡r t✐♠❡

[t −✶,t +✶✵] [t −✶,t +✷✵] [t −✶,t +✸✵] [t −✶,t +✹✵] [t −✶,t +✺✵] (1) (2) (3) (4) (5) Surpriset−✶

• 0.837∗∗
• 0.831∗∗
• 0.317
• 0.0945

0.493 (0.405) (0.409) (0.497) (0.561) (0.686) Own surpriseit controls Yes Yes Yes Yes Yes Year-month FE Yes Yes Yes Yes Yes R✷ 0.0616 0.0465 0.0375 0.0373 0.0359 Observations 75736 75567 75362 74995 74149 [t +✶,t +✶✵] [t +✶,t +✷✵] [t +✶,t +✸✵] [t +✶,t +✹✵] [t +✶,t +✺✵] ✭✶✮ ✭✷✮ ✭✸✮ ✭✹✮ ✭✺✮ Surpriset−✶ ✵✳✵✵✾✻✾ ✵✳✵✸✼✶ ✵✳✹✼✷ ✵✳✼✺✺ ✶✳✸✷✼∗ ✭✵✳✸✹✵✮ ✭✵✳✸✼✶✮ ✭✵✳✹✽✷✮ ✭✵✳✺✺✾✮ ✭✵✳✻✼✼✮ ❖✇♥ surpriseit ❝♦♥tr♦❧s ❨❡s ❨❡s ❨❡s ❨❡s ❨❡s ❨❡❛r✲♠♦♥t❤ ❋❊ ❨❡s ❨❡s ❨❡s ❨❡s ❨❡s ❘✷ ✵✳✵✷✷✽ ✵✳✵✷✶✺ ✵✳✵✷✶✺ ✵✳✵✷✹✼ ✵✳✵✷✼✷ ❖❜s❡r✈❛t✐♦♥s ✼✺✼✽✸ ✼✺✻✵✼ ✼✺✸✾✼ ✼✺✵✷✽ ✼✹✶✼✾ ❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✵ ✴ ✹✷

▲♦♥❣ r✉♥ r❡✈❡rs❛❧s

❈♦♥tr❛st ❡✛❡❝ts ❛r❡ ❛ ❜✐❛s ✐♥ ✐♥❢♦r♠❛t✐♦♥ ♣r♦❝❡ss✐♥❣ ■❢ ♣r✐❝❡s ❡✈❡♥t✉❛❧❧② ❝♦♥✈❡r❣❡ t♦ ❢✉♥❞❛♠❡♥t❛❧s

• ❲❡ ❡①♣❡❝t t♦ s❡❡ t❤❡ ❝♦♥tr❛st ❡✛❡❝t r❡✈❡rs❡ ♦✈❡r t✐♠❡

[t −✶,t +✶✵] [t −✶,t +✷✵] [t −✶,t +✸✵] [t −✶,t +✹✵] [t −✶,t +✺✵] (1) (2) (3) (4) (5) Surpriset−✶

• 0.837∗∗
• 0.831∗∗
• 0.317
• 0.0945

0.493 (0.405) (0.409) (0.497) (0.561) (0.686) Own surpriseit controls Yes Yes Yes Yes Yes Year-month FE Yes Yes Yes Yes Yes R✷ 0.0616 0.0465 0.0375 0.0373 0.0359 Observations 75736 75567 75362 74995 74149 [t +✶,t +✶✵] [t +✶,t +✷✵] [t +✶,t +✸✵] [t +✶,t +✹✵] [t +✶,t +✺✵] ✭✶✮ ✭✷✮ ✭✸✮ ✭✹✮ ✭✺✮ Surpriset−✶ ✵✳✵✵✾✻✾ ✵✳✵✸✼✶ ✵✳✹✼✷ ✵✳✼✺✺ ✶✳✸✷✼∗ ✭✵✳✸✹✵✮ ✭✵✳✸✼✶✮ ✭✵✳✹✽✷✮ ✭✵✳✺✺✾✮ ✭✵✳✻✼✼✮ ❖✇♥ surpriseit ❝♦♥tr♦❧s ❨❡s ❨❡s ❨❡s ❨❡s ❨❡s ❨❡❛r✲♠♦♥t❤ ❋❊ ❨❡s ❨❡s ❨❡s ❨❡s ❨❡s ❘✷ ✵✳✵✷✷✽ ✵✳✵✷✶✺ ✵✳✵✷✶✺ ✵✳✵✷✹✼ ✵✳✵✷✼✷ ❖❜s❡r✈❛t✐♦♥s ✼✺✼✽✸ ✼✺✻✵✼ ✼✺✸✾✼ ✼✺✵✷✽ ✼✹✶✼✾ ❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✵ ✴ ✹✷

❖✉t❧✐♥❡

✶ ❊♠♣✐r✐❝❛❧ ♠❡t❤♦❞♦❧♦❣② ✷ ❇❛s❡❧✐♥❡ r❡s✉❧ts ✸ P♦t❡♥t✐❛❧ ❛❧t❡r♥❛t✐✈❡ ❡①♣❧❛♥❛t✐♦♥s ✹ ❯♥❝♦♥❞✐t✐♦♥❛❧ r❡s✉❧ts ❛♥❞ tr❛❞✐♥❣ str❛t❡❣② ✺ ❍❡t❡r♦❣❡♥❡✐t② ❛♥❞ r♦❜✉st♥❡ss

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✵ ✴ ✹✷

❘✉❧✐♥❣ ♦✉t ❛♥ ✐♥❢♦r♠❛t✐♦♥ tr❛♥s♠✐ss✐♦♥ st♦r②

❙✉♣♣♦s❡ ❆ ❛♥♥♦✉♥❝❡s ❛ ♣♦s✐t✐✈❡ s✉r♣r✐s❡ ♦♥ t −✶ ❛♥❞ ❇ ✇✐❧❧ ❛♥♥♦✉♥❝❡ ♦♥ t ❊♠♣✐r✐❝❛❧❧②✱ ✇❡ ✜♥❞ ❇ ❤❛s ❛ ❧♦✇ r❡t✉r♥✱ ❝♦♥❞✐t✐♦♥❛❧ ♦♥ ✐ts ♦✇♥ ❡❛r♥✐♥❣s ❈❛♥ ✐♥❢♦r♠❛t✐♦♥ tr❛♥s♠✐ss✐♦♥ ❡①♣❧❛✐♥ ❇✬s ❧♦✇ r❡t✉r♥❄

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✶ ✴ ✹✷

❆✬s ♣♦s✐t✐✈❡ s✉r♣r✐s❡ ✐s ●❖❖❉ ♥❡✇s ❢♦r ❇❄

▼♦st ✜♥❛♥❝❡✴❛❝❝♦✉♥t✐♥❣ r❡s❡❛r❝❤ ❧♦♦❦s ❛t ♣♦s✐t✐✈❡❧② ❝♦rr❡❧❛t❡❞ ♥❡✇s tr❛♥s♠✐ss✐♦♥ ❜② ✏❜❡❧❧✇❡t❤❡r✑ ✜r♠s ❆✬s ♣♦s✐t✐✈❡ s✉r♣r✐s❡ ✐♥❝r❡❛s❡s ❡①♣❡❝t❛t✐♦♥s ❢♦r ❇✬s ♣r♦s♣❡❝ts ✴ ❡❛r♥✐♥❣s ⇒

• ❍✐❣❤❡r r❡t✉r♥s ❢♦r ❇ ♦♥ t −✶
• ▲♦✇❡r r❡t✉r♥s ❢♦r ❇ ♦♥ t ❢♦r ❛ ❣✐✈❡♥ ❧❡✈❡❧ ♦❢ ❡❛r♥✐♥❣s

❆✬s s✉r♣r✐s❡ s❤♦✉❧❞ ♥♦t ♥❡❣❛t✐✈❡❧② ❛✛❡❝t ❇✬s ❝✉♠✉❧❛t✐✈❡ r❡t✉r♥ ❢r♦♠ t −✶ t♦ t +✶ ❖✉r r❡s✉❧ts ❝❛♥✬t ❜❡ ❡①♣❧❛✐♥❡❞ ❜② ♣♦s✐t✐✈❡ ❝♦rr❡❧❛t✐♦♥ ✐♥ ♥❡✇s✱ ❜❡❝❛✉s❡ ✇❡ ✉s❡ ❇✬s ❝✉♠✉❧❛t✐✈❡ r❡t✉r♥s ✭st❛rt✐♥❣ ❛t ♠❛r❦❡t ❝❧♦s❡ ♦♥ t −✷✮

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✷ ✴ ✹✷

❆✬s ♣♦s✐t✐✈❡ s✉r♣r✐s❡ ✐s ❇❆❉ ♥❡✇s ❢♦r ❇❄

❆✬s ❡❛r♥✐♥❣s s✉r♣r✐s❡ ✐s ♥♦t ♥❡❣❛t✐✈❡❧② ❝♦rr❡❧❛t❡❞ ✇✐t❤ ❇✬s s✉r♣r✐s❡

• P♦s✐t✐✈❡❧② ❝♦rr❡❧❛t❡❞ ♥❡✇s ✇✐t❤♦✉t ❝♦♥tr♦❧❧✐♥❣ ❢♦r t✐♠❡ tr❡♥❞s
• ◆♦ ❝♦rr❡❧❛t✐♦♥ ❛❢t❡r ❛❝❝♦✉♥t✐♥❣ ❢♦r s❧♦✇❡r✲♠♦✈✐♥❣ t✐♠❡ tr❡♥❞s ✇✐t❤

②❡❛r✲♠♦♥t❤ ❋❊ ▼❛②❜❡ ❆✬s ❣♦♦❞ ♥❡✇s ✐s ❜❛❞ ♥♦♥✲❡❛r♥✐♥❣s ♥❡✇s ❢♦r ❇ ■❢ s♦✱ ❇✬s ♣r✐❝❡ s❤♦✉❧❞ ❞✐♣ ♦♥ ✶ ▼❛r❦❡t ❞♦❡s ♥♦t r❡s♣♦♥❞ ❛s ✐❢ ✐♥❢♦r♠❛t✐♦♥ ✐s tr❛♥s♠✐tt❡❞

Surpriseit Open-to-open ret [t −✶] (1) (2) (3) (4) Surpriset−✶ 0.157∗∗∗ 0.0115 0.128 0.0655 (0.0603) (0.0602) (0.155) (0.145) Own surpriseit controls No No No No Year-month FE No Yes No Yes R✷ 0.00204 0.0324 0.000153 0.0253 Observations 75923 75923 61732 61732 ❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✸ ✴ ✹✷

❆✬s ♣♦s✐t✐✈❡ s✉r♣r✐s❡ ✐s ❇❆❉ ♥❡✇s ❢♦r ❇❄

❆✬s ❡❛r♥✐♥❣s s✉r♣r✐s❡ ✐s ♥♦t ♥❡❣❛t✐✈❡❧② ❝♦rr❡❧❛t❡❞ ✇✐t❤ ❇✬s s✉r♣r✐s❡

• P♦s✐t✐✈❡❧② ❝♦rr❡❧❛t❡❞ ♥❡✇s ✇✐t❤♦✉t ❝♦♥tr♦❧❧✐♥❣ ❢♦r t✐♠❡ tr❡♥❞s
• ◆♦ ❝♦rr❡❧❛t✐♦♥ ❛❢t❡r ❛❝❝♦✉♥t✐♥❣ ❢♦r s❧♦✇❡r✲♠♦✈✐♥❣ t✐♠❡ tr❡♥❞s ✇✐t❤

②❡❛r✲♠♦♥t❤ ❋❊ ▼❛②❜❡ ❆✬s ❣♦♦❞ ♥❡✇s ✐s ❜❛❞ ♥♦♥✲❡❛r♥✐♥❣s ♥❡✇s ❢♦r ❇

• ■❢ s♦✱ ❇✬s ♣r✐❝❡ s❤♦✉❧❞ ❞✐♣ ♦♥ t −✶
• ▼❛r❦❡t ❞♦❡s ♥♦t r❡s♣♦♥❞ ❛s ✐❢ ✐♥❢♦r♠❛t✐♦♥ ✐s tr❛♥s♠✐tt❡❞

Surpriseit Open-to-open ret [t −✶] (1) (2) (3) (4) Surpriset−✶ 0.157∗∗∗ 0.0115 0.128 0.0655 (0.0603) (0.0602) (0.155) (0.145) Own surpriseit controls No No No No Year-month FE No Yes No Yes R✷ 0.00204 0.0324 0.000153 0.0253 Observations 75923 75923 61732 61732 ❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✸ ✴ ✹✷

❆✬s ♣♦s✐t✐✈❡ s✉r♣r✐s❡ ✐s ❇❆❉ ♥❡✇s ❢♦r ❇❄

❲❡ ❡st✐♠❛t❡ ❝❧♦s❡✲t♦✲③❡r♦ ✐♥❢♦r♠❛t✐♦♥ tr❛♥s♠✐ss✐♦♥ ♦♥ ❛✈❡r❛❣❡

• ▼❛②❜❡ t❤❡r❡✬s ❛ s✉❜s❛♠♣❧❡ ✇✐t❤ ♥❡❣❛t✐✈❡❧② ❝♦rr❡❧❛t❡❞ ✐♥❢♦r♠❛t✐♦♥

tr❛♥s♠✐ss✐♦♥ t❤❛t ❞r✐✈❡s t❤❡ r❡s✉❧ts

• ■❢ ✐♥❢♦r♠❛t✐♦♥ ❡①♣❧❛✐♥s ♦✉r r❡s✉❧ts✱ ✇❡ s❤♦✉❧❞ ✜♥❞ ♥♦ ♥❡❣❛t✐✈❡ r❡❧❛t✐♦♥

❛❢t❡r ❧✐♠✐t✐♥❣ t♦ s✉❜s❛♠♣❧❡s ✐♥ ✇❤✐❝❤ t❤❡ ♠❛r❦❡t r❡❛❝t❡❞ ❛s ✐❢ ♥♦ ✐♥❢♦r♠❛t✐♦♥ ✇❛s r❡❧❡❛s❡❞ ✐♥ t −✶

|Rett−✶| < ✵.✵✶ |Rett−✶| < ✵.✵✵✺ No neg corr info transmission [t −✶] (1) (2) (3) Surpriset−✶

• 0.915∗∗
• 0.868∗∗
• 1.454∗∗∗

(0.362) (0.410) (0.335) Return type Open-open Open-open Open-open Own surpriseit controls Yes Yes Yes Year-month FE Yes Yes Yes R✷ 0.115 0.162 0.0900 Observations 25907 14043 31137 ❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✸ ✴ ✹✷

❉❡❧❛②❡❞ r❡s♣♦♥s❡❄

❆✬s t −✶ s✉r♣r✐s❡ ✐s ❜❛❞ ♥❡✇s ❢♦r ❇✱ ❜✉t ♠❛r❦❡t ❞♦❡s ♥♦t r❡❛❝t ✉♥t✐❧ t

• ❘❛t✐♦♥❛❧ ✐♥✈❡st♦rs s❤♦✉❧❞ r❡❛❝t ♦♥ t −✶ ❜❡❝❛✉s❡ ❆✬s ❣♦♦❞ ♥❡✇s ♦♥

❛✈❡r❛❣❡ ♣r❡❞✐❝ts ♥❡❣❛t✐✈❡ r❡t✉r♥s ❢♦r ❇

• ❇♦✉♥❞❡❞❧② r❛t✐♦♥❛❧ ✐♥✈❡st♦rs ♠❛② ✇❛✐t ✉♥t✐❧ t ✇❤❡♥ ❇ ✐s ❢❡❛t✉r❡❞ ✐♥

t❤❡ ♥❡✇s ❛s ✐t ❛♥♥♦✉♥❝❡s ❡❛r♥✐♥❣s ❍♦✇❡✈❡r✿

• ■❢ ♣r❡✈✐♦✉s ❛♥♥♦✉♥❝❡♠❡♥ts ❝♦♥✈❡② ✐♥❢♦r♠❛t✐♦♥✱ ✇❡ s❤♦✉❧❞ s❡❡ s✐♠✐❧❛r

❡✛❡❝ts ❢r♦♠ ❡❛r❧✐❡r s✉r♣r✐s❡s ♦♥ t −✷ ❛♥❞ t −✸

• ■♥❢♦r♠❛t✐♦♥ tr❛♥s♠✐ss✐♦♥ ✭✇✐t❤ ♦r ✇✐t❤♦✉t ❞❡❧❛②❡❞ r❡s♣♦♥s❡✮ s❤♦✉❧❞

♥♦t ❧❡❛❞ t♦ ❛ ❧♦♥❣✲r✉♥ r❡✈❡rs❛❧

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✹ ✴ ✹✷

❘❡♠❛✐♥✐♥❣ ✭✈❡r② ❝♦♠♣❧❡①✮ ✐♥❢♦r♠❛t✐♦♥ st♦r②

✶ ❆✬s t −✶ ♣♦s✐t✐✈❡ s✉r♣r✐s❡ ♠✉st ❝♦♥t❛✐♥ ♥❡❣❛t✐✈❡ ✐♥❢♦r♠❛t✐♦♥ ❢♦r ❇ ✷ ■♥❢♦r♠❛t✐♦♥ r❡❧❛t❡s t♦ ❇✬s ♣r♦s♣❡❝ts ♦t❤❡r t❤❛♥ ❇✬s ❡❛r♥✐♥❣s ✸ ❘❛t✐♦♥❛❧ ✐♥✈❡st♦rs s❤♦✉❧❞ ♥♦t ✇❛✐t ✉♥t✐❧ ❞❛② t t♦ r❡❛❝t ✹ ◆❡✈❡rt❤❡❧❡ss✱ t❤❡ ♠❛r❦❡t ❞♦❡s r❡❛❝t ✉♥t✐❧ ❞❛② t✱ ❛♥❞ ✐t r❡❛❝ts ✐♥ ❛

❜✐❛s❡❞ ♠❛♥♥❡r✱ ❧❡❛❞✐♥❣ t♦ ❛ ❧♦♥❣ r✉♥ r❡✈❡rs❛❧

✺ ❚❤❡ r❡❧❡✈❛♥t ✐♥❢♦r♠❛t✐♦♥ ❢♦r ❇ ✐s ♦♥❧② ✐♥ t −✶ s✉r♣r✐s❡s✱ ❜✉t ♥♦t ❡❛r❧✐❡r

s✉r♣r✐s❡s r❡❧❡❛s❡❞ ♦♥ t −✷ ♦r t −✸

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✺ ✴ ✹✷

❊①♣❡❝t❛t✐♦♥s ✈s✳ P❡r❝❡♣t✐♦♥s

❊①♣❡❝t❛t✐♦♥❛❧ ❡rr♦r✿ ❊①♣♦s✉r❡ t♦ ❛ ♣r❡✈✐♦✉s s✐❣♥❛❧ ❜✐❛s❡s ❜❡❧✐❡❢s ❛♥❞ ❡①♣❡❝t❛t✐♦♥s ❛❜♦✉t t❤❡ q✉❛❧✐t② ♦❢ t❤❡ ♥❡①t s✐❣♥❛❧

• ▲❛r❣❡ ❧✐t❡r❛t✉r❡ ♦♥ ❡①tr❛♣♦❧❛t✐✈❡ ❜❡❧✐❡❢s ♦r ❣❛♠❜❧❡r✬s ❢❛❧❧❛❝②
• Pr❡❞✐❝ts t❤❛t ❇✬s ♣r✐❝❡ s❤♦✉❧❞ ❝❤❛♥❣❡ ♦♥ t −✶

P❡r❝❡♣t✐♦♥ ❡rr♦r✿ Pr❡✈✐♦✉s s✐❣♥❛❧ ❜✐❛s❡s ♣❡r❝❡♣t✐♦♥ ♦❢ t❤❡ ♥❡①t s✐❣♥❛❧ ✕ ❖❝❝✉rs ♦♥❧② ❛❢t❡r ✈✐❡✇✐♥❣ t❤❡ ♥❡①t s✐❣♥❛❧

• Pr❡❞✐❝ts ❛ ❜✐❛s❡❞ r❡t✉r♥ r❡❛❝t✐♦♥ t♦ ❇✬s ❛♥♥♦✉♥❝❡♠❡♥t ♦♥❧② ❛❢t❡r t❤❡

❛♥♥♦✉♥❝❡♠❡♥t ♦❝❝✉rs ▲❛❝❦ ♦❢ r❡t✉r♥ r❡❛❝t✐♦♥ ♦♥ t −✶ s❤♦✇s t❤❛t ❝♦♥tr❛st ❡✛❡❝ts ✐s ❛♥ ❡rr♦r ✐♥ ♣❡r❝❡♣t✐♦♥s r❛t❤❡r t❤❛♥ ❛♥ ❡rr♦r ✐♥ ❡①♣❡❝t❛t✐♦♥s

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✻ ✴ ✹✷

❙tr❛t❡❣✐❝ ♠❛♥✐♣✉❧❛t✐♦♥

❋✐r♠s ♠❛② ♠❛♥✐♣✉❧❛t❡ t❤❡ t✐♠✐♥❣ ♦r ♠❛❣♥✐t✉❞❡ ♦❢ t❤❡✐r ❡❛r♥✐♥❣s ❛♥♥♦✉♥❝❡♠❡♥ts ✭❉❡❧❧❛❱✐❣♥❛ ✷✵✵✾✱ ❙♦ ✷✵✶✺✮ ❲✐❧❧ ♦♥❧② ❜✐❛s ♦✉r r❡s✉❧ts ✐❢ ✜r♠s ❛❧t❡r t❤❡✐r ❡❛r♥✐♥❣s ❛♥♥♦✉♥❝❡♠❡♥ts ❛s ❛ ❢✉♥❝t✐♦♥ ♦❢ surpriset−✶ ❯♥❧✐❦❡❧②✱ ❜❡❝❛✉s❡ ❡❛r♥✐♥❣s ❛r❡ s❝❤❡❞✉❧❡❞ ❛t ❧❡❛st t✇♦ ✇❡❡❦s ❜❡❢♦r❡❤❛♥❞

• ❲♦✉❧❞ ♥❡❡❞ t♦ ❦♥♦✇ ✇❤❛t t❤❡ ♦t❤❡r ✜r♠✬s s✉r♣r✐s❡ ✇✐❧❧ ❜❡ ✐♥ ♦r❞❡r t♦

str❛t❡❣✐❝❛❧❧② s❝❤❡❞✉❧❡

• ❍❛r❞ t♦ ♠❛♥✐♣✉❧❛t❡ ❡❛r♥✐♥❣s q✉✐❝❦❧② ❛s ❛ r❡❛❝t✐♦♥ t♦ t −✶ s✉r♣r✐s❡s

❙✐♠✐❧❛r r❡s✉❧ts r❡str✐❝t✐♥❣ t❤❡ s❛♠♣❧❡ t♦ ✜r♠s t❤❛t ❛♥♥♦✉♥❝❡ ♦♥ t❤❡ s❛♠❡ ❞❛② ❛s ♣r❡✈✐♦✉s ②❡❛r

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✼ ✴ ✹✷

❙tr❛t❡❣✐❝ ♠❛♥✐♣✉❧❛t✐♦♥

Return [t −✶,t +✶] (1) (2) Surpriset−✶ x abs(∆ date)<=5

• 0.896∗∗∗

(0.267) Surpriset−✶ x abs(∆ date)>5

• 0.723

(0.704) Surpriset−✶ x ∆ date<-5 0.913 (0.845) Surpriset−✶ x abs(∆ date)<=5

• 0.903∗∗∗

(0.267) Surpriset−✶ x ∆ date>5

• 1.334

(0.918) Own surpriseit controls Yes Yes Year-month FE Yes Yes R✷ 0.0850 0.0854 Observations 70135 70135 ❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✽ ✴ ✹✷

❈❤❛♥❣❡s ✐♥ r✐s❦ ♦r tr❛❞✐♥❣ ❢r✐❝t✐♦♥s

• ❲❡ ✉s❡ ❝❤❛r❛❝t❡r✐st✐❝ ❛❞❥✉st❡❞ r❡t✉r♥s t♦ ❛❝❝♦✉♥t ❢♦r ✜①❡❞

✜r♠✲s♣❡❝✐✜❝ ❧♦❛❞✐♥❣s ♦♥ ❦♥♦✇♥ r✐s❦ ❢❛❝t♦rs

• ❋♦r r✐s❦ ♦r tr❛❞✐♥❣ ❢r✐❝t✐♦♥s t♦ ❡①♣❧❛✐♥ ♦✉r r❡s✉❧ts✱ ✐t ♠✉st ❜❡ t❤❛t ❛

♠♦r❡ ♥❡❣❛t✐✈❡ ❡❛r♥✐♥❣s s✉r♣r✐s❡ ②❡st❡r❞❛② ✐♥❝r❡❛s❡s t❤❡ ❞❛✐❧② ❧♦❛❞✐♥❣s ♦♥ r✐s❦ ❢❛❝t♦rs✱ t❛✐❧ r✐s❦✱ ✐❧❧✐q✉✐❞✐t②✱ ♦r ✈♦❧❛t✐❧✐t② ♦❢ ✜r♠s ❛♥♥♦✉♥❝✐♥❣ t♦❞❛②

◮ ❉♦♥✬t ✜♥❞ ❛♥② ❡✈✐❞❡♥❝❡ ❢♦r t❤❡s❡ q✉❛♥t✐t✐❡s ❝❤❛♥❣✐♥❣

• ❆ ❧✐♠✐t❡❞ ❝❛♣✐t❛❧ ❡①♣❧❛♥❛t✐♦♥ ♣r❡❞✐❝ts ❧♦✇ ✈♦❧✉♠❡ ❢♦❧❧♦✇✐♥❣ ❤✐❣❤

surpriset−✶ ✕ ◆♦ ❡✈✐❞❡♥❝❡ ♦❢ t❤✐s ✐♥ ❞❛t❛

◮ ❍✐❣❤ surpriset−✶ ❞♦❡s ♥♦t ♣r❡❞✐❝t ❧♦✇ r❡t✉r♥s ❢♦r ♥♦♥✲❛♥♥♦✉♥❝✐♥❣ ✜r♠s ◮ Pr✐❝❡ ❝♦rr❡❝t✐♦♥ ♦❝❝✉rs s❧♦✇❧② ❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✷✾ ✴ ✹✷

❉✐str✐❜✉t✐♦♥ ♦❢ r❡t✉r♥s ❜② surpriset−✶

5 10 15 Density

• .2
• .1

.1 .2 Return [t-1,t+1] 1 10

Surpriset-1 deciles

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✵ ✴ ✹✷

❖✉t❧✐♥❡

✶ ❊♠♣✐r✐❝❛❧ ♠❡t❤♦❞♦❧♦❣② ✷ ❇❛s❡❧✐♥❡ r❡s✉❧ts ✸ P♦t❡♥t✐❛❧ ❛❧t❡r♥❛t✐✈❡ ❡①♣❧❛♥❛t✐♦♥s ✹ ❯♥❝♦♥❞✐t✐♦♥❛❧ r❡s✉❧ts ❛♥❞ tr❛❞✐♥❣ str❛t❡❣② ✺ ❍❡t❡r♦❣❡♥❡✐t② ❛♥❞ r♦❜✉st♥❡ss

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✵ ✴ ✹✷

❈♦♥tr❛st ❡✛❡❝ts ✇✐t❤♦✉t ❝♦♥❞✐t✐♦♥✐♥❣ ♦♥ t♦❞❛②✬s s✉r♣r✐s❡

❘❡t✉r♥s ❝❧❡❛r❧② r❡s♣♦♥❞ t♦ t❤❡ ✜r♠s✬ ♦✇♥ ❡❛r♥✐♥❣ s✉r♣r✐s❡

• ❍❡♥❝❡✱ ❜❛s❡❧✐♥❡ s♣❡❝✐✜❝❛t✐♦♥ ❝♦♥tr♦❧s ❢♦r ♦✇♥ s✉r♣r✐s❡

❇✉t✱ surpriset−✶ ✐s ✉♥❝♦rr❡❧❛t❡❞ ✇✐t❤ surpriseit✱ ❛❢t❡r ❝♦♥tr♦❧❧✐♥❣ ❢♦r s❧♦✇✲♠♦✈✐♥❣ t✐♠❡ tr❡♥❞s

• ❍✐❣❤ surpriset−✶ ✇✐❧❧ ❧❡❛❞ t♦ ❧♦✇ r❡t✉r♥s ✐♥ ❡①♣❡❝t❛t✐♦♥ ❢♦r ✜r♠s

s❝❤❡❞✉❧❡❞ t♦ ❛♥♥♦✉♥❝❡ t❤❡ ♥❡①t ❞❛②

• ■❢ ✇❡ ❞♦♥✬t ❝♦♥❞✐t✐♦♥ ♦♥ t❤❡ ✜r♠✬s ♦✇♥ s✉r♣r✐s❡✱ ❝❛♥ tr❛❞❡ ❜❛s❡❞ ✉♣♦♥

t −✶ ♥❡✇s

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✶ ✴ ✹✷

❯♥❝♦♥❞✐t✐♦♥❛❧ r❡❧❛t✐♦♥s❤✐♣

• .5

.5 Return % [t-1,t+1]

• .0075
• .005
• .0025

.0025 .005 .0075 Previous day's earnings surprise: Surpriset-1 ❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✷ ✴ ✹✷

❈✉♠✉❧❛t✐✈❡ ✉♥❝♦♥❞✐t✐♦♥❛❧ r❡t✉r♥s

• .3
• .2
• .1

.1 .2 .3 Cumulative return [%] 2 4 6 8 10 Trading days after announcement Surpriset-1>75th pctile Surpriset-1<25th pctile ❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✸ ✴ ✹✷

❚r❛❞✐♥❣ str❛t❡❣②

▲♦♥❣✿ ❋✐r♠s ❛♥♥♦✉♥❝✐♥❣ ❡❛r♥✐♥❣s ❛t t ✐❢ surpriset−✶ ✇❛s ❧♦✇

• ❙❤♦rt t❤❡ ♠❛r❦❡t

❙❤♦rt✿ ❋✐r♠s ❛♥♥♦✉♥❝✐♥❣ ❡❛r♥✐♥❣s ❛t t ✐❢ surpriset−✶ ✇❛s ❤✐❣❤

• ▲♦♥❣ t❤❡ ♠❛r❦❡t

❙tr❛t❡❣②

• ❚r❛❞❡ ♦♥❧② ✜r♠s ✐♥ t♦♣ q✉✐♥t✐❧❡ ♦❢ s✐③❡
• ❍♦❧❞ ❢♦r ❛♥♥♦✉♥❝❡♠❡♥t ❞❛② t ❛♥❞ t +✶

❋❛♠❛✲❋r❡♥❝❤ ✹✲❢❛❝t♦r r❡❣r❡ss✐♦♥s

• rett = α +β✶MktRf +β✷SMB +β✸HML+β✹UMD

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✹ ✴ ✹✷

❚r❛❞✐♥❣ str❛t❡❣②

5 or More Stocks Any Number of Stocks (1) (2) (3) (4) Alpha [%] 0.0985∗∗ 0.216∗∗∗ 0.0855∗ 0.182∗∗∗ (0.0447) (0.0532) (0.0487) (0.0556) MktRf

• 0.0233

0.00119

• 0.0877∗∗
• 0.0489

(0.0353) (0.0392) (0.0405) (0.0451) SMB 0.0868

• 0.0555

0.136∗ 0.0729 (0.0675) (0.0767) (0.0779) (0.0871) HML

• 0.0539
• 0.133∗
• 0.0234
• 0.180∗∗

(0.0708) (0.0771) (0.0757) (0.0825) UMD 0.0503 0.0380

• 0.0179
• 0.00971

(0.0478) (0.0537) (0.0538) (0.0591) Long Cutoff Surpriset−✶<0 Surpriset−✶<25th Pctile Surpriset−✶<0 Surpriset−✶<25th Pctile Short Cutoff Surpriset−✶>0 Surpriset−✶>75th Pctile Surpriset−✶>0 Surpriset−✶>75th Pctile Observations 1275 837 2150 1525 Annual Return[%] 6.48 9.47 9.62 14.9

❉❛✐❧② ❛❧♣❤❛s ♦❢ ✾ t♦ ✷✶ ❜❛s✐s ♣♦✐♥ts

◆♦t ♣♦ss✐❜❧❡ t♦ ✐♠♣❧❡♠❡♥t str❛t❡❣② ❡✈❡r②❞❛②

❚r❛❞✐♥❣ str❛t❡❣② ②✐❡❧❞s ✼✲✶✺✪ ❛❜♥♦r♠❛❧ r❡t✉r♥s ♣❡r ②❡❛r

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✺ ✴ ✹✷

❚r❛❞✐♥❣ str❛t❡❣②

5 or More Stocks Any Number of Stocks (1) (2) (3) (4) Alpha [%] 0.0985∗∗ 0.216∗∗∗ 0.0855∗ 0.182∗∗∗ (0.0447) (0.0532) (0.0487) (0.0556) MktRf

• 0.0233

0.00119

• 0.0877∗∗
• 0.0489

(0.0353) (0.0392) (0.0405) (0.0451) SMB 0.0868

• 0.0555

0.136∗ 0.0729 (0.0675) (0.0767) (0.0779) (0.0871) HML

• 0.0539
• 0.133∗
• 0.0234
• 0.180∗∗

(0.0708) (0.0771) (0.0757) (0.0825) UMD 0.0503 0.0380

• 0.0179
• 0.00971

(0.0478) (0.0537) (0.0538) (0.0591) Long Cutoff Surpriset−✶<0 Surpriset−✶<25th Pctile Surpriset−✶<0 Surpriset−✶<25th Pctile Short Cutoff Surpriset−✶>0 Surpriset−✶>75th Pctile Surpriset−✶>0 Surpriset−✶>75th Pctile Observations 1275 837 2150 1525 Annual Return[%] 6.48 9.47 9.62 14.9

• ❉❛✐❧② ❛❧♣❤❛s ♦❢ ✾ t♦ ✷✶ ❜❛s✐s ♣♦✐♥ts

◮ ◆♦t ♣♦ss✐❜❧❡ t♦ ✐♠♣❧❡♠❡♥t str❛t❡❣② ❡✈❡r②❞❛②

❚r❛❞✐♥❣ str❛t❡❣② ②✐❡❧❞s ✼✲✶✺✪ ❛❜♥♦r♠❛❧ r❡t✉r♥s ♣❡r ②❡❛r

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✻ ✴ ✹✷

❚r❛❞✐♥❣ str❛t❡❣②

5 or More Stocks Any Number of Stocks (1) (2) (3) (4) Alpha [%] 0.0985∗∗ 0.216∗∗∗ 0.0855∗ 0.182∗∗∗ (0.0447) (0.0532) (0.0487) (0.0556) MktRf

• 0.0233

0.00119

• 0.0877∗∗
• 0.0489

(0.0353) (0.0392) (0.0405) (0.0451) SMB 0.0868

• 0.0555

0.136∗ 0.0729 (0.0675) (0.0767) (0.0779) (0.0871) HML

• 0.0539
• 0.133∗
• 0.0234
• 0.180∗∗

(0.0708) (0.0771) (0.0757) (0.0825) UMD 0.0503 0.0380

• 0.0179
• 0.00971

(0.0478) (0.0537) (0.0538) (0.0591) Long Cutoff Surpriset−✶<0 Surpriset−✶<25th Pctile Surpriset−✶<0 Surpriset−✶<25th Pctile Short Cutoff Surpriset−✶>0 Surpriset−✶>75th Pctile Surpriset−✶>0 Surpriset−✶>75th Pctile Observations 1275 837 2150 1525 Annual Return[%] 6.48 9.47 9.62 14.9

• ❉❛✐❧② ❛❧♣❤❛s ♦❢ ✾ t♦ ✷✶ ❜❛s✐s ♣♦✐♥ts

◮ ◆♦t ♣♦ss✐❜❧❡ t♦ ✐♠♣❧❡♠❡♥t str❛t❡❣② ❡✈❡r②❞❛②

• ❚r❛❞✐♥❣ str❛t❡❣② ②✐❡❧❞s ✼✲✶✺✪ ❛❜♥♦r♠❛❧ r❡t✉r♥s ♣❡r ②❡❛r

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✼ ✴ ✹✷

❖✉t❧✐♥❡

✶ ❊♠♣✐r✐❝❛❧ ♠❡t❤♦❞♦❧♦❣② ✷ ❇❛s❡❧✐♥❡ r❡s✉❧ts ✸ P♦t❡♥t✐❛❧ ❛❧t❡r♥❛t✐✈❡ ❡①♣❧❛♥❛t✐♦♥s ✹ ❯♥❝♦♥❞✐t✐♦♥❛❧ r❡s✉❧ts ❛♥❞ tr❛❞✐♥❣ str❛t❡❣② ✺ ❍❡t❡r♦❣❡♥❡✐t② ❛♥❞ r♦❜✉st♥❡ss

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✼ ✴ ✹✷

❍❡t❡r♦❣❡♥❡✐t②✿ ❙✐③❡ ✫ ❆♥❛❧②st ❈♦✈❡r❛❣❡

Return [t −✶,t +✶] (1) (2) Surpriset−✶ x size quintile 1

• 0.393

(0.485) Surpriset−✶ x size quintile 2

• 0.398

(0.478) Surpriset−✶ x size quintile 3

• 0.391

(0.430) Surpriset−✶ x size quintile 4 0.200 (0.324) Surpriset−✶ x size quintile 5

• 0.997∗∗∗

(0.265) Surpriset−✶ x (num analysts = 1) 0.0726 (0.587) Surpriset−✶ x (num analysts = 2)

• 0.793∗

(0.477) Surpriset−✶ x (num analysts >= 3)

• 1.027∗∗∗

(0.279) Own surpriseit controls Yes Yes Year-month FE Yes Yes R✷ 0.0842 0.0842 Observations 75923 75923

❊✛❡❝t ❞r✐✈❡♥ ❜② t❤❡ ❧❛r❣❡st q✉✐♥t✐❧❡ ♦❢ ✜r♠s ❊✛❡❝t ❧❛r❣❡st ❢♦r ✜r♠s ❝♦✈❡r❡❞ ❜② ❛t ❧❡❛st ✸ ❛♥❛❧②sts

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✽ ✴ ✹✷

❍❡t❡r♦❣❡♥❡✐t②✿ ❙✐③❡ ✫ ❆♥❛❧②st ❈♦✈❡r❛❣❡

Return [t −✶,t +✶] (1) (2) Surpriset−✶ x size quintile 1

• 0.393

(0.485) Surpriset−✶ x size quintile 2

• 0.398

(0.478) Surpriset−✶ x size quintile 3

• 0.391

(0.430) Surpriset−✶ x size quintile 4 0.200 (0.324) Surpriset−✶ x size quintile 5

• 0.997∗∗∗

(0.265) Surpriset−✶ x (num analysts = 1) 0.0726 (0.587) Surpriset−✶ x (num analysts = 2)

• 0.793∗

(0.477) Surpriset−✶ x (num analysts >= 3)

• 1.027∗∗∗

(0.279) Own surpriseit controls Yes Yes Year-month FE Yes Yes R✷ 0.0842 0.0842 Observations 75923 75923

• ❊✛❡❝t ❞r✐✈❡♥ ❜② t❤❡

❧❛r❣❡st q✉✐♥t✐❧❡ ♦❢ ✜r♠s ❊✛❡❝t ❧❛r❣❡st ❢♦r ✜r♠s ❝♦✈❡r❡❞ ❜② ❛t ❧❡❛st ✸ ❛♥❛❧②sts

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✽ ✴ ✹✷

❍❡t❡r♦❣❡♥❡✐t②✿ ❙✐③❡ ✫ ❆♥❛❧②st ❈♦✈❡r❛❣❡

Return [t −✶,t +✶] (1) (2) Surpriset−✶ x size quintile 1

• 0.393

(0.485) Surpriset−✶ x size quintile 2

• 0.398

(0.478) Surpriset−✶ x size quintile 3

• 0.391

(0.430) Surpriset−✶ x size quintile 4 0.200 (0.324) Surpriset−✶ x size quintile 5

• 0.997∗∗∗

(0.265) Surpriset−✶ x (num analysts = 1) 0.0726 (0.587) Surpriset−✶ x (num analysts = 2)

• 0.793∗

(0.477) Surpriset−✶ x (num analysts >= 3)

• 1.027∗∗∗

(0.279) Own surpriseit controls Yes Yes Year-month FE Yes Yes R✷ 0.0842 0.0842 Observations 75923 75923

• ❊✛❡❝t ❞r✐✈❡♥ ❜② t❤❡

❧❛r❣❡st q✉✐♥t✐❧❡ ♦❢ ✜r♠s

• ❊✛❡❝t ❧❛r❣❡st ❢♦r ✜r♠s

❝♦✈❡r❡❞ ❜② ❛t ❧❡❛st ✸ ❛♥❛❧②sts

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✽ ✴ ✹✷

❍❡t❡r♦❣❡♥❡✐t②✿ ❇② ❉❡❝❛❞❡

Return [t −✶,t +✶] (1) Surpriset−✶ x 1980s

• 0.663

(0.419) Surpriset−✶ x 1990s

• 0.912

(0.743) Surpriset−✶ x 2000s

• 0.883∗∗

(0.344) Surpriset−✶ x 2010s

• 0.997∗∗

(0.487) Own surpriseit controls Yes Year-month FE Yes R✷ 0.0839 Observations 75923

❊✛❡❝t str♦♥❣❡r ✐♥ ♠♦r❡ r❡❝❡♥t ②❡❛rs

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✾ ✴ ✹✷

❍❡t❡r♦❣❡♥❡✐t②✿ ❇② ❉❡❝❛❞❡

Return [t −✶,t +✶] (1) Surpriset−✶ x 1980s

• 0.663

(0.419) Surpriset−✶ x 1990s

• 0.912

(0.743) Surpriset−✶ x 2000s

• 0.883∗∗

(0.344) Surpriset−✶ x 2010s

• 0.997∗∗

(0.487) Own surpriseit controls Yes Year-month FE Yes R✷ 0.0839 Observations 75923

• ❊✛❡❝t str♦♥❣❡r ✐♥ ♠♦r❡

r❡❝❡♥t ②❡❛rs

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✸✾ ✴ ✹✷

❍❡t❡r♦❣❡♥❡✐t②✿ ❉❛② ♦❢ ❲❡❡❦

Baseline sample Year>=2000 (1) (2) (3) (4) Mondays Other Mondays Other Surpriset−✶ 0.0759

• 0.724∗∗∗
• 0.272
• 0.767∗∗∗

(1.147) (0.249) (0.927) (0.289) p-value: Mondays = Other 0.490 0.605 Own surpriseit controls Yes Yes Yes Yes Year-month FE Yes Yes Yes Yes R✷ 0.186 0.0865 0.208 0.0958 Observations 7815 68108 3926 41317 ❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✹✵ ✴ ✹✷

■♥❞✉str② ♠❛t❝❤

Full sample Small firms Large firms (1) (2) (3) (4) (5) (6) (7) Surpriset−✶ same ind

• 0.418∗∗
• 0.334∗∗∗
• 0.417∗∗
• 0.565∗∗
• 0.662∗∗∗
• 0.417∗∗
• 0.417∗∗

(0.168) (0.122) (0.178) (0.226) (0.236) (0.173) (0.183) Surpriset−✶ dif ind

• 0.425∗∗
• 0.0365
• 0.180
• 0.151
• 0.0545
• 0.436∗∗
• 0.189

(0.178) (0.117) (0.197) (0.224) (0.290) (0.183) (0.202) Both surpriset−✶ non-missing No No Yes No Yes No Yes Regression weights Value Equal Value Value Value Value Value p-value: same=dif 0.978 0.112 0.386 0.232 0.129 0.944 0.421 Own surpriseit controls Yes Yes Yes Yes Yes Yes Yes Year-month FE Yes Yes Yes Yes Yes Yes Yes R✷ 0.0840 0.0749 0.0879 0.0974 0.104 0.0854 0.0896 Observations 75923 75923 49300 33861 20829 42062 28471

• ❈♦♥tr❛st ❡✛❡❝ts ❢♦r ❧❛r❣❡ ✜r♠s ❝❛♥ ♦♣❡r❛t❡ ❛❝r♦ss ✐♥❞✉str✐❡s✱ ❜✉t ♦♥❧②

✇❤❡♥ ❛ s❛♠❡ ✐♥❞✉str② ❝♦♠♣❛r✐s♦♥ ✐s ✉♥❛✈❛✐❧❛❜❧❡

• ❈♦♥tr❛st ❡✛❡❝ts ❢♦r s♠❛❧❧ ✜r♠s ♦♣❡r❛t❡ ♣r✐♠❛r✐❧② ✇✐t❤✐♥ ✐♥❞✉str②

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✹✶ ✴ ✹✷

■♥❞✉str② ♠❛t❝❤

Full sample Small firms Large firms (1) (2) (3) (4) (5) (6) (7) Surpriset−✶ same ind

• 0.418∗∗
• 0.334∗∗∗
• 0.417∗∗
• 0.565∗∗
• 0.662∗∗∗
• 0.417∗∗
• 0.417∗∗

(0.168) (0.122) (0.178) (0.226) (0.236) (0.173) (0.183) Surpriset−✶ dif ind

• 0.425∗∗
• 0.0365
• 0.180
• 0.151
• 0.0545
• 0.436∗∗
• 0.189

(0.178) (0.117) (0.197) (0.224) (0.290) (0.183) (0.202) Both surpriset−✶ non-missing No No Yes No Yes No Yes Regression weights Value Equal Value Value Value Value Value p-value: same=dif 0.978 0.112 0.386 0.232 0.129 0.944 0.421 Own surpriseit controls Yes Yes Yes Yes Yes Yes Yes Year-month FE Yes Yes Yes Yes Yes Yes Yes R✷ 0.0840 0.0749 0.0879 0.0974 0.104 0.0854 0.0896 Observations 75923 75923 49300 33861 20829 42062 28471

• ❈♦♥tr❛st ❡✛❡❝ts ❢♦r ❧❛r❣❡ ✜r♠s ❝❛♥ ♦♣❡r❛t❡ ❛❝r♦ss ✐♥❞✉str✐❡s✱ ❜✉t ♦♥❧②

✇❤❡♥ ❛ s❛♠❡ ✐♥❞✉str② ❝♦♠♣❛r✐s♦♥ ✐s ✉♥❛✈❛✐❧❛❜❧❡

• ❈♦♥tr❛st ❡✛❡❝ts ❢♦r s♠❛❧❧ ✜r♠s ♦♣❡r❛t❡ ♣r✐♠❛r✐❧② ✇✐t❤✐♥ ✐♥❞✉str②

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✹✶ ✴ ✹✷

■♥❞✉str② ♠❛t❝❤

Full sample Small firms Large firms (1) (2) (3) (4) (5) (6) (7) Surpriset−✶ same ind

• 0.418∗∗
• 0.334∗∗∗
• 0.417∗∗
• 0.565∗∗
• 0.662∗∗∗
• 0.417∗∗
• 0.417∗∗

(0.168) (0.122) (0.178) (0.226) (0.236) (0.173) (0.183) Surpriset−✶ dif ind

• 0.425∗∗
• 0.0365
• 0.180
• 0.151
• 0.0545
• 0.436∗∗
• 0.189

(0.178) (0.117) (0.197) (0.224) (0.290) (0.183) (0.202) Both surpriset−✶ non-missing No No Yes No Yes No Yes Regression weights Value Equal Value Value Value Value Value p-value: same=dif 0.978 0.112 0.386 0.232 0.129 0.944 0.421 Own surpriseit controls Yes Yes Yes Yes Yes Yes Yes Year-month FE Yes Yes Yes Yes Yes Yes Yes R✷ 0.0840 0.0749 0.0879 0.0974 0.104 0.0854 0.0896 Observations 75923 75923 49300 33861 20829 42062 28471

• ❈♦♥tr❛st ❡✛❡❝ts ❢♦r ❧❛r❣❡ ✜r♠s ❝❛♥ ♦♣❡r❛t❡ ❛❝r♦ss ✐♥❞✉str✐❡s✱ ❜✉t ♦♥❧②

✇❤❡♥ ❛ s❛♠❡ ✐♥❞✉str② ❝♦♠♣❛r✐s♦♥ ✐s ✉♥❛✈❛✐❧❛❜❧❡

• ❈♦♥tr❛st ❡✛❡❝ts ❢♦r s♠❛❧❧ ✜r♠s ♦♣❡r❛t❡ ♣r✐♠❛r✐❧② ✇✐t❤✐♥ ✐♥❞✉str②

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✹✶ ✴ ✹✷

❈♦♥❝❧✉s✐♦♥

❙❤♦✇ t❤❛t ❝♦♥tr❛st ❡✛❡❝ts ❛r❡ r♦❜✉st ♦✉ts✐❞❡ ♦❢ t❤❡ ❧❛❜✱ ✐♥ ❛ s❡tt✐♥❣ ✇✐t❤ ♠❛r❦❡t ♣r✐❝❡s s❡t ❜② ♣r♦❢❡ss✐♦♥❛❧s ❢❛❝✐♥❣ ❤✐❣❤ st❛❦❡s ▼❛② ♣r♦✈✐❞❡ ♣s②❝❤♦❧♦❣✐❝❛❧ ❜❛s✐s ❢♦r ♣r❡❢❡r❡♥❝❡s s✉❝❤ ❛s ✐♥t❡r♥❛❧ ❤❛❜✐ts

• ❱❛❧✉❡ ❣❛✐♥s ✐♥ ❝♦♥s✉♠♣t✐♦♥ r❡❧❛t✐✈❡ t♦ ♣r❡✈✐♦✉s ❡①♣❡r✐❡♥❝❡

▲❛❝❦ ♦❢ r❡t✉r♥ r❡❛❝t✐♦♥ ♦♥ t −✶ s❤♦✇s t❤❛t ❝♦♥tr❛st ❡✛❡❝ts ✐s ❛♥ ❡rr♦r ✐♥ ♣❡r❝❡♣t✐♦♥s r❛t❤❡r t❤❛♥ ❛♥ ❡rr♦r ✐♥ ❡①♣❡❝t❛t✐♦♥s ❋♦r ✐❞❡♥t✐✜❝❛t✐♦♥✱ ✇❡ ♣✐❝❦❡❞ ❛ s❡tt✐♥❣ ✇✐t❤ ♣r❡✲s❝❤❡❞✉❧❡❞ ♥❡✇s r❡❧❡❛s❡s

• ❋✐r♠s ♠❛② t❛❦❡ ❛❞✈❛♥t❛❣❡ ♦❢ ❝♦♥tr❛st ❡✛❡❝ts t♦ r❡❧❡❛s❡ ❜❛❞ ♥❡✇s

✐♠♠❡❞✐❛t❡❧② ❛❢t❡r ♦t❤❡r ✜r♠s r❡❧❡❛s❡ ❜❛❞ ♥❡✇s

❍❛rt③♠❛r❦ ❛♥❞ ❙❤✉❡ ❈♦♥tr❛st ❊✛❡❝ts ✐♥ ❋✐♥❛♥❝✐❛❧ ▼❛r❦❡ts ✹✷ ✴ ✹✷