Volatility Forecasting Using Financial Statement Information

• 成果类型: Article
• 署名作者: Sridharan, Suhas A.
• 署名单位: University of California System; University of California Los Angeles
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-51025
• 发表日期: 2015
• 页码: 2079-2106
• 关键词: bid-ask spreads; OPTION PRICES; return; RISK; COMPETITION; deviations; variance; implicit

摘要

This paper examines whether financial statement information can predict future realized equity volatility incremental to market-based equity volatility forecasts. I use an analytical framework to identify accounting-based drivers of realized volatility. My main hypothesis is that accounting-based drivers can be used to forecast future realized volatility incremental to either past realized volatility or option-implied volatility. I confirm this empirically and document abnormal returns to an option-based trading strategy that takes a long (short) position in firms with financial statement information indicative of high (low) future realized volatility. These results suggest that accounting-based volatility drivers may serve as useful indicators of variance risk. Finally, I demonstrate that the incorporation of accounting-based fundamental information into forecasting models yields lower forecast errors relative to models based solely on past realized volatility.