Unexpected returns are the result of new unexpected information arriving to the market during the period. Some examples of relevant new information arriving to the market could be things like:

• Announcement of the latest growth rate of the economy • Large swings in the value of the national currency • Announcement of a new contract to sell large quantity of products to another country • News of a large accident at the factory • Announcement of a new facility being built that will significantly increase the production capacity of the company