이익 변동성이 현재 주가의 미래 이익 기대에 대한 정보성에 미치는 영향: 미국기업을 중심으로 = The effect of earnings volatility on current stock price informativeness about expectations of future earnings

다국어 초록 (Multilingual Abstract)

Purpose - This study investigates how earnings volatility influences current stock price informativeness about expectations of future earnings.
Design/methodology/approach - I adopt the FERC model developed by Collins et al. (1994) and modified by Lundholm and Myers (2002) to investigate the connection between earnings volatility and future earnings reflected in current returns. I define five-year rolling standard deviations of earnings and components as earnings volatility measures and the degree of deviation of earnings from cash flows over the same five-year, which is developed by Jayaraman (2008).
Finding - My results show that earnings volatility delays current stock price response to future operation expectations. They also verify that as earnings are more divergent from cash flows, current returns are less timely incorporating value-relevant future operation.
Research implications or Originality This study shows that when volatile earnings deliver obscure and unreliable information about future operation expectations, they cause the market to be conflicting in understandings their implications and make it difficult in attaining correct future cashflow estimates.

참고문헌 (Reference)

1 Lang, M., "“How Representative Are Firms that areCross-listed in the United States?” An Analysis of Accounting Quality" 41 : 363-386, 2003

2 Tsalavoutas, I., "Uncertainty Avoidance and Stock Price Informativeness of Future Earnings" 75 : 101410-, 2021

3 Bhattacharya, U., "The World Price of Earnings Opacity" 78 (78): 641-678, 2003

4 Ball, R., "The Role of Accruals in Asymmetrically Timely Gain and Loss Recognition" 44 (44): 207-242, 2006

5 Dechow, P. M., "The Quality of Accruals and Earnings : The Role of Accrual Estimation Errors" 77 (77): 35-59, 2002

6 Xie, H., "The Mispricing of Abnormal Accruals" 76 (76): 357-373, 2001

7 Ettredge, M. L., "The Impact of SFAS No. 131 Business Segment Data on the Market’s Ability to Anticipate Future Earnings" 80 (80): 773-804, 2005

8 Graham, J., "The Economic Implications of Corporate Financial Reporting" 40 (40): 3-73, 2005

9 Hirshleifer, D., "Residual Risk, Trading Costs, and Commodity Futures Risk Premia" 1 (1): 173-193, 1988

10 Sankar, M. R., "Reporting Discretion and Private Information Communication through Earnings" 39 (39): 365-386, 2001

11 Merton, R. C., "Presidential Address : A Simple Model of Capital Market Equilibrium with Incomplete Information" 42 (42): 483-510, 1987

12 Demski, J., "Performance Measure Manipulation" 15 (15): 261-285, 1998

13 DeLong, J. B., "Noise Trader Risk in Financial Markets" 98 (98): 703-738, 1990

14 Collins, D. W., "Lack of Timeliness and Noise as Explanations for the Low Contemporaneous Return-earnings Association" 18 (18): 289-324, 1994

15 Easley, D., "Is Information Risk a Determinant of Asset Returns?" 57 (57): 2185-2221, 2002

16 Barth, M. E., "International Accounting Standards and Accounting Quality" 46 (46): 467-498, 2008

17 Gu Z., "Income Smoothing and the Prediction of Future Cash Flows" 2005

18 Amihud, Y., "Illiquidity and Stock Returns : Cross-section and Time-series Effects" 5 (5): 31-56, 2002

19 Lee, J. J., "Economic Determinants of Price Informativeness about Future Earnings" 14 (14): 83-102, 2018

20 Jayaraman, S., "Earnings Volatility, Cash Flow Volatility, and Informed Trading" 46 (46): 809-851, 2008

21 Dichev, A., "Earnings Volatility and Earnings Predictability" 47 (47): 160-181, 2009

22 Leuz, C., "Earnings Management and Investor Protection : An International Comparison" 69 (69): 505-527, 2003

23 Tucker, J. W., "Does Income Smoothing Improve Earnings Informativeness?" 81 (81): 251-270, 2006

24 Sloan, R. G., "Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?" 71 : 289-315, 1996

25 Rountree, B., "Do Investors Value Smooth Performance?" 90 (90): 237-251, 2008

26 Gow, I., "Correcting for Cross-sectional and Time-series Dependence in Accounting Research" 85 (85): 483-512, 2010

27 Lundholm, R., "Bringing the Future Forward : The Effect of Disclosure on the Returns-earnings Relation" 40 (40): 809-839, 2002

28 Amihud, Y., "Asset Pricing and the Bid-ask Spread" 17 (17): 223-249, 1986

29 Arya, A, "Are Unmanaged Earnings Always Better for Shareholders?" 17 : 111-116, 2003

30 Barth, M. E., "Accruals, Cash Flows, and Equity Values" 4 (4): 205-229, 1999

31 Warfield, T. D., "Accounting Recognition and the Relevance of Earnings as an Explanatory Variable for Returns" 67 (67): 821-842, 1992

32 Dechow, P. M., "Accounting Earnings and Cash Flows as Measures of Firm Performance : The Role of Accounting Accruals" 18 (18): 3-42, 1994

33 Barberis, N., "A Model of Investor Sentiment" 49 (49): 307-343, 1998