Earnings guidance and market uncertainty

• 成果类型: Article
• 署名作者: Rogers, Jonathan L.; Skinner, Douglas J.; Van Buskirk, Andrew
• 署名单位: University of Chicago
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2009.07.001
• 发表日期: 2009
• 关键词: volatility; INFORMATION; DISCLOSURES; forecasts; BEHAVIOR; returns; OPTION; news

摘要

We study the effect of disclosure on uncertainty by examining how management earnings forecasts affect stock market volatility. Using implied volatilities from exchange-traded options prices, we find that management earnings forecasts increase short-term volatility. This effect is attributable to forecasts that convey bad news, especially when firms release forecasts sporadically rather than on a routine basis. In the longer run, market uncertainty declines after earnings are announced, regardless of whether there is a preceding earnings forecast. This decline is mitigated when the firm issues a forecast that conveys negative news, implying that these forecasts are associated with increased uncertainty. (C) 2009 Elsevier B.V. All rights reserved.