Inconsistent Signals, Earnings Announcements, and Market Uncertainty

被引：3

作者：

He, Wen ^{[1
]}

Jackson, Andrew B. ^{[2
]}

Liang, Kevin ^{[2
]}

机构：

[1] Univ Queensland, UQ Business Sch, Brisbane, Qld, Australia

[2] UNSW Australia, UNSW Business Sch, Kensington, NSW, Australia

来源：

ABACUS-A JOURNAL OF ACCOUNTING FINANCE AND BUSINESS STUDIES | 2019年 / 55卷 / 02期

关键词：

Accounting disclosure; Earnings news; Implied volatility; Information; Market uncertainty; BAD-NEWS; EX-ANTE; ANALYSTS FORECASTS; INFORMATION; COST; DISCLOSURE; EVOLUTION; GUIDANCE; ERRORS;

D O I：

10.1111/abac.12156

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We test the proposition in Johnstone (2016) that new information may lead to higher, rather than lower, uncertainty about firms' future payoffs. Based on the Bayesian rule, we hypothesize earnings news that is inconsistent with investors' prior belief will lead to higher market uncertainty. Using earnings signals in the past few quarters to proxy for investors' prior belief, we find supporting evidence that, relative to consistent earnings news, inconsistent news results in an increase in market uncertainty measured by implied volatility. Inconsistent earnings news has a larger effect on market uncertainty when prior beliefs are stronger and when the news is negative. Overall, our evidence highlights the importance of prior belief and inconsistent signals in understanding the effect of earnings news on market uncertainty.

引用

页码：411 / 435

页数：25

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