The role of other information in analysts' forecasts in understanding stock return volatility

• 成果类型: Article
• 署名作者: Shan, Yaowen; Taylor, Stephen; Walter, Terry
• 署名单位: University of Technology Sydney; University of Sydney
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-013-9272-5
• 发表日期: 2014
• 页码: 1346-1392
• 关键词: residual income valuation; time-series properties; PRICES FULLY REFLECT; Cash flows; institutional investors; variance decomposition; corporate governance; earnings guidance; individual stocks; Equity valuation

摘要

This study identifies other information in analysts' forecasts as a legitimate proxy for future cash flows and examines its incremental role in explaining stock return volatility. We suggest that other information contains information about fundamentals beyond that reflected in current financial statements and reflects firms' fundamentals on a more timely basis than dividends or earnings. Using standardized regressions, we find volatility increases when current other information is more uncertain and increases more in response to unfavorable news compared to favorable news. Variance decomposition analysis shows that the variance contribution of other information dominates that of expected-return news. The incremental role of other information is at least half of the effect of earnings in explaining future volatility. The results are more pronounced for firms with poor information environments. Overall, our results highlight the importance of including other information as an additional cash-flow proxy in future studies of stock prices and volatility.