Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5086899 | Journal of Accounting and Economics | 2009 | 20 Pages |
Abstract
We study the effect of disclosure on uncertainty by examining how management earnings forecasts affect stock market volatility. Using implied volatilities from exchange-traded options prices, we find that management earnings forecasts increase short-term volatility. This effect is attributable to forecasts that convey bad news, especially when firms release forecasts sporadically rather than on a routine basis. In the longer run, market uncertainty declines after earnings are announced, regardless of whether there is a preceding earnings forecast. This decline is mitigated when the firm issues a forecast that conveys negative news, implying that these forecasts are associated with increased uncertainty.
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Accounting
Authors
Jonathan L. Rogers, Douglas J. Skinner, Andrew Van Buskirk,