This study finds that the market's reaction to management guidance is greatest and that the direction of management's guidance relative to the consensus analyst forecast is strongest when analysts' forecast errors are unpredicted by the market. After decomposing analysts' forecast errors into their predicted and unpredicted components, I provide evidence that the market efficiently filters the predicted errors in analysts' forecasts when reacting to management forecasts. I further find that firms' propensity to issue management forecasts is increasing in the forecast errors that are unexpected by the market and that the direction of management's guidance is more strongly associated with analysts' unpredicted forecast errors than with predicted forecast errors. Results are robust to the method used to predict analysts' forecast errors.