Management forecasts of volatility
成果类型：
Article
署名作者：
Ellahie, Atif; Peng, Xiaoxia
署名单位：
Utah System of Higher Education; University of Utah
刊物名称：
REVIEW OF ACCOUNTING STUDIES
ISSN/ISSBN：
1380-6653
DOI：
10.1007/s11142-020-09567-4
发表日期：
2021
页码：
620-655
关键词：
摘要：
We examine the predictive information content of the management forecasts of stock return volatility (i.e., expected volatility) that are disclosed in annual reports. We find that expected volatility predicts near-term and longer-term stock return volatility and earnings volatility incremental to implied volatility, historical volatility, firm characteristics, and alternative measures of uncertainty. We also find that expected volatility reflects managers' private information about their firms' future investment activities, such as mergers and acquisitions and R&D intensity. Finally, we find that the predictive power of expected volatility shrinks when managers have stronger incentives to manage earnings. Overall, we provide novel evidence that management forecasts of volatility contain private information about future uncertainty that can help forecast volatility.
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