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作者：Correia, Maria; Kang, Johnny; Richardson, Scott
作者单位：University of London; London School Economics & Political Science; University of London; London Business School
摘要：We examine whether fundamental measures of volatility are incremental to market-based measures of volatility in (i) predicting bankruptcies (out of sample), (ii) explaining cross-sectional variation in credit spreads, and (iii) explaining future credit excess returns. Our fundamental measures of volatility include (i) historical volatility in profitability, margins, turnover, operating income growth, and sales growth; (ii) dispersion in analyst forecasts of future earnings; and (iii) quantile ...
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作者：Rao, Pingui; Yue, Heng; Zhou, Xin
作者单位：Jinan University; Singapore Management University
摘要：Theory suggests that firm value should include the value of real options; that is, firms have the option to expand more profitable businesses and liquidate less profitable businesses. In a diversified firm, each segment has its own real options. Applying real options theory to a diversified firm at the firm level neglects the value of segment-level options. If investors overlook segment-level options, mispricing will occur. Using data from 1981 to 2013, we find that a hedge portfolio buying di...
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作者：Ham, Charles; Seybert, Nicholas; Wang, Sean
作者单位：Washington University (WUSTL); University System of Maryland; University of Maryland College Park; Rice University
摘要：Using the size of CEO signatures in SEC filings to measure individual narcissism, we find that CEO narcissism is associated with several negative firm outcomes. We first validate signature size as a measure of narcissism but not overconfidence using two laboratory studies, and also find that our measure is correlated with employee perceptions of CEO narcissism used in prior research. We then use CEO signatures to study the relation between CEO narcissism and the firm's investment policies and ...
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作者：Mohanram, Partha; Saiy, Sasan; Vyas, Dushyantkumar
作者单位：University of Toronto; University of Waterloo; University of Toronto; University Toronto Mississauga
摘要：This study investigates the efficacy of a fundamental analysis-based approach to screen U.S. bank stocks. We construct an index (BSCORE) based on fourteen bank-specific valuation signals. We document a positive association between BSCORE and future profitability changes, as well as current and one-year-ahead stock returns, implying that BSCORE captures forward looking information that the markets are yet to impound. A hedge strategy based on BSCORE yields positive hedge returns for all but two...
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作者：Cheng, Qiang; Cho, Young Jun; Yang, Holly
作者单位：Singapore Management University
摘要：Using the adoption of SFAS 142 as an exogenous shock, we examine the effect of changes in financial reporting on firms' internal information environment. We argue that complying with SFAS 142 induces managers to acquire new information and therefore improves their information sets. Interviews with executives and auditors confirm this argument. Using a difference-in-differences design, we find that firms affected by SFAS 142 (i.e., treatment firms) experience an improvement in management foreca...
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作者：Blankespoor, Elizabeth; deHaan, Ed; Zhu, Christina
作者单位：Stanford University; University of Washington; University of Washington Seattle
摘要：In 2014, the Associated Press (AP) began using algorithms to write articles about firms' earnings announcements. These robo-journalism articles synthesize information from firms' press releases, analyst reports, and stock performance and are widely disseminated by major news outlets a few hours after the earnings release. The articles are available for thousands of firms on a quarterly basis, many of which previously received little or no media attention. We use AP's staggered implementation o...
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作者：Carabias, Jose M.
作者单位：University of London; London School Economics & Political Science
摘要：This paper investigates the usefulness of the real-time macroeconomic news-flow as a leading indicator of firm-level end-of-quarter realized earnings. Using recent advances in macroeconomics, I develop a nowcasting model for quarterly earnings and provide two main findings. First, I show that my model provides out-of-sample expectations that are as accurate as analysts' forecasts. Second, macroeconomic news embedded in my nowcasts is not fully incorporated into investors' earnings expectations...
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作者：Canace, Thomas G.; Jackson, Scott B.; Ma, Tao
作者单位：Wake Forest University; University of South Carolina System; University of South Carolina Columbia; Texas Tech University System; Texas Tech University
摘要：Prior studies find that firms cut research and development (R&D) expense in response to earnings considerations. We extend this stream of research by documenting that firms narrowly achieving an earnings threshold also report unusually high capital expenditures. In addition, these firms' total investments (R&D expense plus capital expenditures) do not vary in response to earnings thresholds, which suggests that, on average, reductions in R&D expense are offset by concurrent increases in capita...
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作者：Aobdia, Daniel
作者单位：Northwestern University
摘要：This study explores the impact on companies' disclosures of U.S. states' different propensities to enforce noncompete agreements. I find a negative association between a state's enforcement of noncompete agreements and disclosure activities of firms headquartered in that state. Companies that face local rivals drive some results. Analyses that focus on several state-level changes in enforcement level of noncompete agreements confirm this association. Overall, the findings are consistent with a...
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作者：Beaver, William H.; McNichols, Maureen F.; Wang, Zach Z.
作者单位：Stanford University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：This study examines the information content of quarterly earnings announcements, measured as the magnitude of stock price revision at earnings announcements relative to price revision at other times. We investigate whether quarterly earnings announcements are informative using a nonparametric approach and 1971-2011 sample period. The findings affirm prior evidence on earlier sample periods that significantly more information is conveyed to investors in the three days around earnings announceme...
