Does earnings management affect idiosyncratic volatility
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.22/10285 |
Resumo: | This paper examines the association between earnings management and firm-specific return volatility for a sample of firms listed on the London Stock Exchange. Identifying the determinants of idiosyncratic volatility has been a topical issue since the Campbell et al. (2001) study which documents a noticeable increase in average firm-level volatility across time. Using panel data, we find that poor information environments resulting from earnings management is associated with higher firm-specific return volatility. This finding is consistent with the noise-based approach of firm-specific return volatility. In addition we provide empirical evidence that such association gets stronger when combining accruals quality and the dispersion in analysts’ forecast to describe a poor information environment. Furthermore, we find that poor information environment, leverage and the intensity of information disclosure tend to increase idiosyncratic return volatility, while older, more profitable and larger firms tend exhibit lower levels of idiosyncratic volatility. These results are likely to contribute to the debate on whether firm-specific return volatility captures more firm-specific information being impounded in stock prices or essentially reflects noise. |
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Does earnings management affect idiosyncratic volatilityEarnings managementIodiosyncratic volatilityThis paper examines the association between earnings management and firm-specific return volatility for a sample of firms listed on the London Stock Exchange. Identifying the determinants of idiosyncratic volatility has been a topical issue since the Campbell et al. (2001) study which documents a noticeable increase in average firm-level volatility across time. Using panel data, we find that poor information environments resulting from earnings management is associated with higher firm-specific return volatility. This finding is consistent with the noise-based approach of firm-specific return volatility. In addition we provide empirical evidence that such association gets stronger when combining accruals quality and the dispersion in analysts’ forecast to describe a poor information environment. Furthermore, we find that poor information environment, leverage and the intensity of information disclosure tend to increase idiosyncratic return volatility, while older, more profitable and larger firms tend exhibit lower levels of idiosyncratic volatility. These results are likely to contribute to the debate on whether firm-specific return volatility captures more firm-specific information being impounded in stock prices or essentially reflects noise.Repositório Científico do Instituto Politécnico do PortoPereira, CláudiaCerqueira, António2017-09-19T09:49:15Z20172017-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.22/10285eng10400.22/10285info: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:RCAAP2023-03-13T12:51:49Zoai:recipp.ipp.pt:10400.22/10285Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:30:43.801875Repositório 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 |
Does earnings management affect idiosyncratic volatility |
title |
Does earnings management affect idiosyncratic volatility |
spellingShingle |
Does earnings management affect idiosyncratic volatility Pereira, Cláudia Earnings management Iodiosyncratic volatility |
title_short |
Does earnings management affect idiosyncratic volatility |
title_full |
Does earnings management affect idiosyncratic volatility |
title_fullStr |
Does earnings management affect idiosyncratic volatility |
title_full_unstemmed |
Does earnings management affect idiosyncratic volatility |
title_sort |
Does earnings management affect idiosyncratic volatility |
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 |
Earnings management Iodiosyncratic volatility |
topic |
Earnings management Iodiosyncratic volatility |
description |
This paper examines the association between earnings management and firm-specific return volatility for a sample of firms listed on the London Stock Exchange. Identifying the determinants of idiosyncratic volatility has been a topical issue since the Campbell et al. (2001) study which documents a noticeable increase in average firm-level volatility across time. Using panel data, we find that poor information environments resulting from earnings management is associated with higher firm-specific return volatility. This finding is consistent with the noise-based approach of firm-specific return volatility. In addition we provide empirical evidence that such association gets stronger when combining accruals quality and the dispersion in analysts’ forecast to describe a poor information environment. Furthermore, we find that poor information environment, leverage and the intensity of information disclosure tend to increase idiosyncratic return volatility, while older, more profitable and larger firms tend exhibit lower levels of idiosyncratic volatility. These results are likely to contribute to the debate on whether firm-specific return volatility captures more firm-specific information being impounded in stock prices or essentially reflects noise. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-09-19T09:49:15Z 2017 2017-01-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.22/10285 |
url |
http://hdl.handle.net/10400.22/10285 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10400.22/10285 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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