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On the systematic volatility of unpriced earnings
Journal of Financial Economics, 2014Abstract Some important puzzles in macro finance can be resolved in a model featuring systematically varying volatility of unpriced shocks to firms׳ earnings. In the data, the correlation between corporate debt and stock market valuations is low. The model accounts for this via the opposing effect of unpriced earnings risk on levered debt and equity ...
Timothy C. Johnson, Jaehoon Lee
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Errors in Self-Reported Earnings: The Role of Previous Earnings Volatility
SSRN Electronic Journal, 2008I report the measurement error in self-reported earnings for a developing country. Administrative data from the Federated States of Micronesia's (FSM) Social Security office are matched to the FSM Census data for the wage sector employed. I find that the error in annual self-reported earnings is centered on zero but less efficient than results from the
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Earnings Volatility and Derivative Restatements
SSRN Electronic Journal, 2008A number of companies recently restated their financial statements to correct for misapplication of the accounting standard for derivative accounting, SFAS No. 133. The FASB's initial proposal for this standard was met with opposition from the business community, who argued that it would increase earnings volatility.
Jayanthi Krishnan, Chunwei Xian
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SSRN Electronic Journal, 2008
We establish a link between earnings volatility and earnings quality, and show that both earnings volatility and earnings quality contribute to the trend in idiosyncratic return volatility. We examine the trend in earnings volatility and its components during the period 1978-2006 and find that both cash flow volatility and accruals volatility have been
Changling Chen +2 more
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We establish a link between earnings volatility and earnings quality, and show that both earnings volatility and earnings quality contribute to the trend in idiosyncratic return volatility. We examine the trend in earnings volatility and its components during the period 1978-2006 and find that both cash flow volatility and accruals volatility have been
Changling Chen +2 more
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Earnings Volatility, Post–Earnings Announcement Drift, and Trading Frictions
Journal of Accounting Research, 2011ABSTRACTWe find that lower ex ante earnings volatility leads to higher Post–Earnings Announcement Drift (PEAD). PEAD is a function of both the magnitude of an earnings surprise and its persistence. While prior research has largely investigated market reactions to the magnitude of the earnings surprise, in this study we show that the persistence of the ...
SEAN SHUN CAO +1 more
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Volatility spreads and earnings announcement returns [PDF]
Journal of Banking & Finance, 2014 Prior research documents that volatility spreads predict stock returns. If the trading activity of informed investors is an important driver of volatility spreads, then the predictability of stock returns should be more pronounced during major information events. This paper investigates whether the predictability of equity returns by volatility spreads
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Voluntary Semiannual Earnings Disclosures, Earnings Volatility, Unexpected Earnings, and Firm Size
Journal of Accounting Research, 1992Prior research has examined the association between management forecast disclosure and earnings volatility, unexpected earnings, and firm size (e.g., Waymire [1985]). This study examines whether similar associations exist for a different voluntary disclosure item (interim earnings) in a different institutional setting (New Zealand).
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Earnings Volatility and Market Valuation [PDF]
, 2001 This paper investigates the determits and value relevance implications of the accounting method choice for development expenditures for firms with research and development (R&D) programs in the United Kingdom (UK). Using a sample of 1,780 UK firmyear observations over 19931997, of which I classify 231 (1,549) firm year observations as Capitalizers ...
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Earnings Volatility, Cash Flow Volatility and Informed Trading
2007I examine whether earnings that are smoother or more volatile than cash flows provide or garble information. Consistent with theories that predict more informed trading when public information is less informative, I find that bid-ask spreads and the probability of informed trading are higher both when earnings are smoother than cash flows and also when
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Recent Trends in Earnings Volatility: Evidence from Survey and Administrative Data
B E Journal of Economic Analysis and Policy, 2012Chinhui Juhn, Kristin Mccue
exaly