Evidence is provided of security analyst (SA) superiority relative to univariate time-series (TS) models in predicting firms' quarterly earnings numbers. It is demonstrated that SA forecast superiority in the sample is attributable to: 1. better use of information that exists on the date that TS...

This study examines the association between abnormal returns and five alternative proxies for the market's assessment of unexpected quarterly earnings. We examine the role that measurement error potentially has in multiple regression tests of abnormal returns (occurring around the time of...