We present evidence consistent with markets failing to properly price information in seasonal earnings  patterns.  Firms  with  historically  larger  earnings  in  one  quarter  of  the  year (“positive seasonality quarters”) have higher returns when those earnings are usually announced. Analysts have more positive forecast errors in positive seasonality quarters, consistent with the returns being driven by mistaken earnings estimates. We show that investors appear to overweight recent lower earnings following positive seasonality quarters, leading to pessimistic forecasts in the subsequent positive seasonality quarter. The returns are not explained by a number of risk-based explanations, firm-specific information, increased volume, or idiosyncratic volatility.

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