THE EARNINGS-PRICE AND STANDARDIZED UNEXPECTED EARNINGS EFFECTS - ONE ANOMALY OR 2

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. © The Southern Finance Association and the Southwestern Finance Association