Previous studies report delayed securities returns associated with analysts' earnings forecasts, prior earnings, and prior securities returns. Although this evidence typically has been attributed to biases in investors' expectations of earnings, omitted risk factors constitute an equally plausible potential explanation of the delayed returns. For this reason, our paper evaluates whether the earnings expectations implicit in securities prices weight the information in analysts' forecasts, prior-year earnings, and prior securities returns in a manner consistent with their historical relations to earnings. We find that securities prices reflect a significant over-reliance on historical earnings and a substantial under-reliance on both analysts' forecasts and prior-year securities returns. Composite earnings forecasts that are based on the historical relations of realised earnings to analysts' forecasts, prior year earnings and prior year returns have significantly lower forecast errors than do composite earnings forecasts that are based upon inferred investor weightings of these same information variables. Moreover, significant size-adjusted returns are achieved with hedge portfolios based upon errors in investor earnings expectations that are predicted from differences in the historical and investor weights of these complementary information variables. A disproportionate part of these delayed returns occur in earnings announcement months. Overall, these findings lend credibility to the interpretation that biases in investors' earnings expectations, rather than omitted risk factors, underlie at least a portion of the delayed securities returns.