Macroeconomic surprise, forecast uncertainty, and stock prices

This paper evaluates the effect of surprises in economic data on stock prices. “Surprises in economic data” refer to the difference between the forecast and initial release actual values relative to the sample forecast error. The analysis addresses three questions. Do surprises in economic data affect stock prices? If there is an effect, is the magnitude of that effect symmetrical for positive and negative surprises? If surprises affect stock prices, how does market forecast uncertainty affect the magnitude of the effect on stock prices