Earnings Volatility, Cash Flow Volatility, and Informed Trading
نویسندگان
چکیده
منابع مشابه
Earnings Volatility, Cash Flow Volatility, and Informed Trading
I examine whether earnings that are smoother or more volatile than cash flows provide or garble information. Consistent with theories that predict more informed trading when public information is less informative, I find that bid-ask spreads and the probability of informed trading are higher both when earnings are smoother than cash flows and also when earnings are more volatile than cash flows...
متن کاملInformation, trading, and volatility
We examine the effects of trading and information flows on the short-run behavior of stock prices by comparing the behavior of stock return volatility during trading and nontrading periods. We define nontrading periods as periods when exchanges and businesses are open but traders endogenously choose not to trade. After correcting for the bid/ask bounce and stickiness in quotes, we find that a l...
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Prior research has shown that informed trading activity decreases the stock return volatility because trading causes stock prices to converge to fundamentals. On the contrary to existing studies, this paper documents the empirical asymmetric relation between informed trading activity and volatility. Stocks with relatively less private information are associated with lower participation of infor...
متن کاملSeparating ambiguity and volatility in cash flow simulation based volatility estimation
Volatility is a significant parameter both in financial and real options valuation. However, in the case of several real option projects there is no historical data available. In such cases, one alternative is to use Monte Carlo simulation on projects’ cash flows for volatility estimation. An important issue that has not been taken into account with most of these volatility simulation procedure...
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ژورنال
عنوان ژورنال: Journal of Accounting Research
سال: 2008
ISSN: 0021-8456,1475-679X
DOI: 10.1111/j.1475-679x.2008.00293.x