THE EARNINGS-PRICE AND STANDARDIZED UNEXPECTED EARNINGS EFFECTS: ONE ANOMALY OR TWO?

In this paper prior work on earnings-price (E/P) and standardized unexpected earnings (SUE) anomalies is re-examined and extended. A relation between excess returns and E/P is tested controlling for SUE. Results suggest that both anomalies are still present in the data, and that the E/P effect exists independently of the most recent earnings surprise.