What happens to stock prices after earnings surprises: price momentum is greater for bigger surprise. Cumulative abnormal return patturn is sleeper with the magnitude of the surprise (SUE)
Cumulative returns to portfolios formed based on the size of the most recent earnings surprise . In the sixty day following an earnings announcement, the stocks with highest earning surprises outperformed the overall market by about 2 percent, while the stocks with the most negative earnings surprise underperformed the overall market by about 2 percent.