کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5084544 | 1477912 | 2015 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Earnings forecasts and idiosyncratic volatilities
ترجمه فارسی عنوان
پیش بینی های سود و نوسانات متمایز
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
We test the theoretical relation between idiosyncratic return volatilities and the volatilities of cash-flow news based on the expected returns on equity (ROE) for CRSP stocks over the period 1977-2008. Consistent with economic intuition, we find that using analyst forecasts of earnings is superior to using realized earnings to proxy for market expectations about future cash flow news. Our findings are consistent with a market where stock return volatilities are positively and asymmetrically related to changes in the volatilities of expectations for a fundamental driver of cash flow news (ROE). Our findings are robust after correcting for forecast biases, various fundamental variables, newly-listed and mature firms, and periods with and without earnings announcements.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 41, October 2015, Pages 107-123
Journal: International Review of Financial Analysis - Volume 41, October 2015, Pages 107-123
نویسندگان
Lawrence Kryzanowski, Sana Mohsni,