Information environment euality andidiosyncratic return volatility: evidence from UK

Detalhes bibliográficos
Autor(a) principal: Pereira, Cláudia
Data de Publicação: 2018
Outros Autores: Cerqueira, António
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.22/11377
Resumo: G12, G14, M40
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spelling Information environment euality andidiosyncratic return volatility: evidence from UKAccruals qualityIdiosyncratic volatilityAnalysts’ forecastsG12, G14, M40This paper examines the cross-section relation-ship between the quality of a firm’s information environment and idiosyncratic return volatility, for a sample of UK firms listed on the London Stock Exchange. Using panel data, we find that poor accruals quality is statistically associated with higher firm-specific return volatility. This association also holds for other measures used for the quality of the information environment: dispersion in analysts’ forecasts, the innate component of accruals quality, which reflects the uncertainty about the nature of the firm’s business and the discretionary component of accruals quality, which is related to managerial discretionary choices. More specifically, we find that adding the dispersion in analysts’ forecasts increases the explanatory power for idiosyncratic volatility of the remaining measures of the quality of the information environment. Our results are consistent with the noise-based approach of idiosyncratic volatility. These findings are likely to contribute to the debate on whether idiosyncratic return volatility captures more firm-specific information being impounded into stock prices or essentially reflects noise.Repositório Científico do Instituto Politécnico do PortoPereira, CláudiaCerqueira, António2018-04-18T08:55:33Z2018-04-102018-04-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.22/11377eng10400.22/11377info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-13T12:53:26Zoai:recipp.ipp.pt:10400.22/11377Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:31:45.430900Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Information environment euality andidiosyncratic return volatility: evidence from UK
title Information environment euality andidiosyncratic return volatility: evidence from UK
spellingShingle Information environment euality andidiosyncratic return volatility: evidence from UK
Pereira, Cláudia
Accruals quality
Idiosyncratic volatility
Analysts’ forecasts
title_short Information environment euality andidiosyncratic return volatility: evidence from UK
title_full Information environment euality andidiosyncratic return volatility: evidence from UK
title_fullStr Information environment euality andidiosyncratic return volatility: evidence from UK
title_full_unstemmed Information environment euality andidiosyncratic return volatility: evidence from UK
title_sort Information environment euality andidiosyncratic return volatility: evidence from UK
author Pereira, Cláudia
author_facet Pereira, Cláudia
Cerqueira, António
author_role author
author2 Cerqueira, António
author2_role author
dc.contributor.none.fl_str_mv Repositório Científico do Instituto Politécnico do Porto
dc.contributor.author.fl_str_mv Pereira, Cláudia
Cerqueira, António
dc.subject.por.fl_str_mv Accruals quality
Idiosyncratic volatility
Analysts’ forecasts
topic Accruals quality
Idiosyncratic volatility
Analysts’ forecasts
description G12, G14, M40
publishDate 2018
dc.date.none.fl_str_mv 2018-04-18T08:55:33Z
2018-04-10
2018-04-10T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.22/11377
url http://hdl.handle.net/10400.22/11377
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10400.22/11377
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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