We present our investigation of whether the U.S. equity market responds to the path of earnings information. An earnings path consisted of two consecutive quarters of earnings announcements, adjusted for expectations and seasonality by using analysts' consensus forecasts. After controlling for the information content over the period, we found that security returns for the two-quarter period are affected by the earnings path. The path-dependent security returns are more evident for smaller firms, and the path dependence persists after controlling for firm size and investor anticipation of future earnings surprises.