Idiosyncratic Return Volatility and the Information Quality Underlying Managerial Discretion

被引：64
|
作者：
Chen, Changling [1 ]
Huang, Alan Guoming [1 ]
Jha, Ranjini [1 ]
机构：
[1] Univ Waterloo, Sch Accounting & Finance, Waterloo, ON N2L 3G1, Canada
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2012年 / 47卷 / 04期
关键词：
EARNINGS MANAGEMENT; CASH FLOWS; INDIVIDUAL STOCKS; CROSS-SECTION; MARKET; PERFORMANCE; ACCRUALS; BEHAVIOR; PRICES; TREND;
D O I：
10.1017/S002210901200018X
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Variation in idiosyncratic return volatility from 1978 to 2009 is attributable to discretionary accrual volatility and the correlation between premanaged earnings and discretionary accruals reflective of information quality across firms. These results are robust to controls for firm operating uncertainty, growth options, business-cycle variations, and firm age and industry effects, and they highlight the importance of managerial discretion in determining idiosyncratic volatility.
引用
收藏
页码：873 / 899
页数：27
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