Further inspiration: order imbalance.

We investigate the robustness of earnings surprise measures in the context of a revised market reaction. While existing literature suggests that financial anomalies may distort cumulative abnormal returns (CAR) during annual announcements, our research proves that a revised market reaction offers a more accurate reflection of investor reactions to earnings correction. Specifically, we introduce an innovative adjustment to CAR using stock price jumps, and prove that the fraction of misses on the same side (FOM) provides a superior measure of earnings surprises. Furthermore, we find that investor trading patterns align with FOM, and the post-earnings announcement drift (PEAD) strategy based on FOM outperforms that based on analysts’ forecast error.

本研究于修正后的市场反应框架下，探究盈余意外度量指标的稳健性。尽管现有文献指出，金融异象会在年度业绩公告期间扭曲累计超额收益率（Cumulative Abnormal Returns, CAR），但本研究证实，修正后的市场反应能够更精准地反映投资者对盈余修正的反应。具体而言，我们提出了基于股价跳跃的CAR创新调整方法，并证实同向未达标率（Fraction of Misses on the Same Side, FOM）是更优异的盈余意外度量指标。此外，我们发现投资者交易模式与FOM高度契合，基于FOM构建的盈余公告后漂移（Post-Earnings Announcement Drift, PEAD）策略，其表现优于以分析师预测误差为基础的同类策略。