Kazemi, H. Christopher; Makridis, Christos A. - 2026 - This draft: August 18, 2026
-announcement returns separately from the earnings surprise and that the shift is larger when firm-level and aggregate sentiment align. We … test these predictions using LSEG MarketPsych sentiment, I/B/E/S earnings surprises, and CRSP returns for 83,293 U ….S. quarterly earnings announcements from 1998-2022. The 10-day low-minus-high cumulative abnormal-return spread is 1.38 percentage …