Earnings volatility and earnings predictability

• 成果类型: Article
• 署名作者: Dichev, Ilia D.; Tang, Vicki Wei
• 署名单位: University of Michigan System; University of Michigan; Georgetown University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2008.09.005
• 发表日期: 2009
• 关键词: time-series properties; Cash flows; INFORMATION; accruals; QUALITY; ability

摘要

Survey evidence indicates widely held managerial beliefs that earnings volatility is negatively related to earnings predictability. In addition, existing research suggests that earnings volatility is determined by economic and accounting factors, and both of these factors reduce earnings predictability. We find that the consideration of earnings volatility brings substantial improvements in the prediction of both short- and long-term earnings. Conditioning on volatility information also allows one to identify systematic errors in analyst forecasts, which implies that analysts do not fully understand the implications of earnings volatility for earnings predictability. (C) 2008 Elsevier B.V. All rights reserved.