Weitere Artikel dieser Ausgabe durch Wischen aufrufen
This study examines the differential predictive power of past earnings volatility for analyst forecast errors and future returns. Past earnings volatility jointly captures two correlated, but distinct, earnings properties: time-series earnings variation and uncertainty in future earnings. To distinguish between these two earnings properties, we develop a forward-looking measure of earnings uncertainty that has a minimal mechanical link to variation in prior-period earnings realizations and does not rely on analyst forecasts. Our results suggest that future earnings uncertainty, and not time variation in earnings, is associated with overly optimistic future earnings expectations of equity analysts and investors. We provide the first empirical evidence on the relevance of future earnings uncertainty to analysts and investors over 1-year horizons. In addition, we provide empirical evidence showing that forecast dispersion is a poor measure of earnings uncertainty.
Bitte loggen Sie sich ein, um Zugang zu diesem Inhalt zu erhalten
Sie möchten Zugang zu diesem Inhalt erhalten? Dann informieren Sie sich jetzt über unsere Produkte:
Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of financial markets, 5(1), 31–56.
Ang, A., Hodrick, R., Xing, Y., & Zhang, X. (2006). The cross-section of volatility and expected returns. The Journal of Finance, 61, 259–299. CrossRef
Baker, M., Bradley, B., & Wurgler, J. (2011). Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly. Financial Analysts Journal, 67, 1–15. CrossRef
Ball, R., & Watts, R. (1972). Some time series properties of accounting income. The Journal of Finance, 27(3), 663–681. CrossRef
Barber, B. M., & Lyon, J. D. (1996). Detecting abnormal operating performance: The empirical power and specification of test statistics. Journal of Financial Economics, 41, 359–399. CrossRef
Barron, O. E., Kim, O., Lim, S. C., & Stevens, D. E. (1998). Using analysts’ forecasts to measure properties of analysts’ information environment. The Accounting Review, 73, 421–433.
Beaver, W. H. (1970). The time series behavior of earnings. Journal of Accounting Research, 8, 62–99. CrossRef
Beaver, W., Kettler, P., & Scholes, M. (1970). The association between market determined and accounting determined risk measures. The Accounting Review, 45, 654–682.
Blouin, J. L., Core, J., & Guay, W. (2010). Have the benefits of debt been overstated? Journal of Financial Economics, 98, 195–213. CrossRef
Brown, L., & Laroque, S. (2013). I/B/E/S reported actual EPS and analysts’ inferred actual EPS. The Accounting Review, 88(3), 853–880. CrossRef
Clement, M., Frankel, R., & Miller, J. (2003). Confirming management earnings forecasts, earnings uncertainty, and stock returns. Journal of Accounting Research, 41, 653–679. CrossRef
Daniel, K., Hirshleifer, D., & Subrahmanyam, A. (1998). Investor psychology and security market under-and overreactions. Journal of Finance, 53(6), 1839–1885. CrossRef
Daniel, K., & Titman, S. (2006). Market reactions to tangible and intangible information. Journal of Finance, 61, 1605–1643. CrossRef
Dechow, P., Ge, W., & Schrand, C. (2010). Understanding earnings quality: A review of the proxies, their determinants and their consequences. Journal of Accounting and Economics, 50, 344–401. CrossRef
Dehow, P. M., & Dichev, I. D. (2002). The quality of accruals and earnings: The role of accrual estimation errors. The Accounting Review, 77, 35–59. CrossRef
Diamond, D. W., & Verrecchia, R. E. (1987). Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics, 18, 277–311. CrossRef
Dichev, I. D., & Tang, V. W. (2009). Earnings volatility and earnings predictability. Journal of Accounting and Economics, 47, 160–181. CrossRef
Diether, K., Malloy, C., & Scherbina, A. (2002). Difference of opinion and the cross section of stock returns. The Journal of Finance, 57, 2113–2141. CrossRef
Easley, D., & O’Hara, M. (2004). Information and the cost of capital. Journal of Finance, 59, 1553–1583. CrossRef
Fama, E. F., & French, K. R. (2000). Forecasting profitability and earnings. The Journal of Business, 73(2), 161–175. CrossRef
Fama, E. F., & French, K. R. (2004). New lists: Fundamentals and survival rates. Journal of Financial Economics, 73, 229–269. CrossRef
Fama, E. F., & French, K. R. (2008). Average returns, B/M, and share issues. Journal of Finance, 63, 2971–2995. CrossRef
Fama, E. F., & MacBeth, J. D. (1973). Risk, return, and equilibrium: Empirical tests. The Journal of Political Economy, 81(3), 607–636. CrossRef
Francis, J., LaFond, R., Olsson, P. M., & Schipper, K. (2004). Costs of equity and earnings attributes. The Accounting Review, 79, 967–1010. CrossRef
Francis, J., LaFond, R., Olsson, P. M., & Schipper, K. (2005). The market pricing of accruals quality. Journal of Accounting and Economics, 39, 295–327. CrossRef
Frankel, R., & Litov, L. (2009). Earnings persistence. Journal of Accounting and Economics, 47, 182–190. CrossRef
Freeman, R. N., Ohlson, J. A., & Penman, S. H. (1982). Book rate-of-return and prediction of earnings changes: An empirical investigation. Journal of Accounting Research, 20(2), 639–653. CrossRef
French, K. R., Schwert, G. W., & Stambaugh, R. F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19(1), 3–29. CrossRef
Givoly, D., & Lakonishok, J. (1984). Properties of analysts’ forecasts of earnings: A review and analysis of the research. Journal of Accounting Literature, 3, 117–152.
Graham, J., Harvey, C., & Rajgopal, S. (2005). The economic implications of corporate financial reporting. Journal of Accounting and Economics, 40, 3–73. CrossRef
Green, J., Hand, J. R. M., & Soliman, M. T. (2011). Going, going, gone? The apparent demise of the accruals anomaly. Management Science, 57, 797–816. CrossRef
Jayaraman, S. (2008). Earnings volatility, cash flow volatility, and informed trading. Journal of Accounting Research, 46, 809–851. CrossRef
Jiang, G., Lee, C., & Zhang, G. (2005). Information uncertainty and expected returns. Review of Accounting Studies, 10, 185–221. CrossRef
Johnson, T. C. (2004). Forecast dispersion and the cross section of expected returns. Journal of Finance, 59, 1957–1978. CrossRef
Kothari, S. P., Laguerre, T. E., & Leone, A. J. (2002). Capitalization versus expensing: Evidence on the uncertainty of future earnings from capital expenditures versus R&D outlays. Review of Accounting Studies, 7, 355–382. CrossRef
Kothari, S. P., Leone, A. J., & Wasley, C. E. (2005). Performance matched discretionary accrual measures. Journal of Accounting and Economics, 39(1), 163–197.
Lambert, R., Leuz, C., & Verrecchia, R. E. (2007). Accounting information, disclosure, and the cost of capital. Journal of Accounting Research, 45, 385–420. CrossRef
Lang, M., Lins, K., & Miller, D. (2003). ADRs, analysts, and accuracy: Does cross listing in the United States improve a firm’s information environment and increase market value? Journal of Accounting Research, 41, 317–345. CrossRef
Leuz, C., Nanda, D., & Wysocki, P. D. (2003). Earnings management and investor protection: An international comparison. Journal of Financial Economics, 69, 505–527. CrossRef
Levi, M. D., & Makin, J. H. (1980). Inflation uncertainty and the Phillips curve: Some empirical evidence. American Economic Review, 70, 1022–1027.
Lewellen, J. (2014). The cross-section of expected stock returns. Critical Finance Review (forthcoming).
McInnis, J. (2010). Earnings smoothness, average returns, and implied cost of equity capital. The Accounting Review, 85, 315–341. CrossRef
McNichols, M. F., & O’Brien, P. (1997). Self-selection and analyst coverage. Journal of Accounting Research, 353, 167–199. CrossRef
Minton, B. A., & Schrand, C. (1999). The impact of cash flow volatility on discretionary investment and the costs of debt and equity financing. Journal of Financial Economics, 54, 423–460. CrossRef
Minton, B. A., Schrand, C. M., & Walther, B. R. (2002). The role of volatility in forecasting. Review of Accounting Studies, 7, 195–215. CrossRef
Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedacity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708. CrossRef
Rosenberg, B., & McKibben, W. (1973). The prediction of systematic and specific risk in common stocks. Journal of Financial and Quantitative Analysis, 8(2), 317–333. CrossRef
Rountree, B., Weston, J. P., & Allayannis, G. (2008). Do investors value smooth performance? Journal of Financial Economics, 90, 237–251. CrossRef
Schwert, G. W. (1989). Why does stock return volatility change over time? Journal of Finance, 44, 1115–1153. CrossRef
Schwert, G. W. (1990). Stock volatility and the crash of’87. Review of Financial Studies, 3(1), 77–102. CrossRef
Sheng, X., & Thevenot, M. (2011). A new measure of earnings forecast uncertainty. Journal of Accounting and Economics, 53, 21–33. CrossRef
Sloan, R. G. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings? The Accounting Review, 71, 289–315.
Tucker, J. W., & Zarowin, P. A. (2006). Does income smoothing improve earnings informativeness? The Accounting Review, 81, 251–270. CrossRef
Watts, R. L., & Leftwich, R. W. (1977). The time series of annual accounting earnings. Journal of Accounting Research, 15(2), 253–271. CrossRef
Zhang, X. F. (2006). Information uncertainty and stock returns. The Journal of Finance, 61, 105–137. CrossRef
- The predictive qualities of earnings volatility and earnings uncertainty
Dain C. Donelson
Robert J. Resutek
- Springer US
Neuer Inhalt/© Stellmach, Neuer Inhalt/© Maturus, Pluta Logo/© Pluta, Frankfurt School