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Primary Article

A Requiem for SUE

Edward F Keon, Jamie A. Coleton, Tara G. Stergis and Gloria Ramirez
The Journal of Investing Winter 2002, 11 (4) 11-14; DOI: https://doi.org/10.3905/joi.2002.319519
Edward F Keon Jr
Chief quantitative equity strategist, responsible for the firm's sector weighting recommendations and director of quantitative research at Prudential Securities in New York, NY.
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Jamie A. Coleton
An assistant vice president and an associate analyst in the Quantitative Equity Research Group at Prudential Securities in New York, NY.
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Tara G. Stergis
An associate vice president and an associate analyst in the Quantitative Equity Research Group at Prudential Securities in New York, NY.
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Gloria Ramirez
An associate analyst in the Quantitative Equity Research Group at Prudential Securities in New York, NY.
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Abstract

We believe that standardized unexpected earnings (SUE, a.k.a. earnings surprise) has lost its power as a stock selection tool. The concept of surprise, acting on new information that was not previously reflected in stock prices, may still have merit. But measuring results versus expectations just before the announcement has been fatally compromised in our view by manipulation of expectations and earnings—a phenomenon that was unwittingly unleashed by SUE herself. We believe that other quantitative factors offer better hope for positive performance in the future, including earnings estimate revisions, valuation-based factors, and measures of earnings quality.

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Vol. 11, Issue 4
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A Requiem for SUE
Edward F Keon, Jamie A. Coleton, Tara G. Stergis, Gloria Ramirez
The Journal of Investing Nov 2002, 11 (4) 11-14; DOI: 10.3905/joi.2002.319519

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A Requiem for SUE
Edward F Keon, Jamie A. Coleton, Tara G. Stergis, Gloria Ramirez
The Journal of Investing Nov 2002, 11 (4) 11-14; DOI: 10.3905/joi.2002.319519
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