We find that missing returns are far more common when the delisting is for reasons of poor performance, and we find the missing returns to be large and negative on average. We revisit previous work which finds a size effect in Nasdaq data and find that when the data are corrected for the delisting bias, the evidence for a size effect in Nasdaq data disappears. Working paper, Florida Atlantic University Graduate School of Business, November. Moreover, the fact that the actual earnings number reported by forecast services includes the nonrecurring item does not insure that the related earnings forecast does likewise. The paper examines two types of nonrecurring items, restructuring losses and equity carve-out gains.
Forecasts are reliably related to losses only if the losses are included in actual earnings.
And forecast revisions show only a very weak relation to losses if actual earnings excluded those losses, and a significantly stronger relation to losses that are included in earnings. The findings suggest that the existence of nonrecurring items can make problematic the calculation of an earnings forecast error that is an unbiased measure of unexpected ordinary income. Data is examined using seven variables through eleven years. Data differences found are further analyzed for 1981 data where a sample is compared to figures directly drawn from financial statements. Substantial data differences are found, most of which are attributable to definitional discrepancies and others to direct measurement error.