earnings volatility and earnings predictability

Earnings growth volatility and the value premium

The volatility of future earnings growth is a significant determinant of Fama and French’s Value premium. We use a stochastic earnings model of firm valuation to establish a formal link between the volatility of future earnings growth and the value premium. Furthermore we empirically confirm this relationship at the macro-level.

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...

On the Systematic Volatility of Unpriced Earnings

Understanding Analysts’ Earnings Expectations: Biases, Nonlinearities and Predictability∗

Financial analysts’ earnings forecasts are a key determinant of stock prices and understanding how these forecasts evolve over time is important. This paper studies the asymmetric behavior of negative and positive values of analysts’ earnings revisions and links it to the conservatism principle of accounting. Using a new three-state mixture of log-normals model that accounts for differences in ...

Earnings Volatility and Market Valuation: An Empirical Investigation

* Preliminary: comments welcome. This work has been partially funded by a scholarship from the Institute of Chartered Accountants in England and Wales. + This work constitutes part of my dissertation at LBS. Thanks are due to my supervisor Henri Servaes and the other members of my transfer committee (Shiva Shivakumar and Michel Habib). I have also benefited from discussions with Abstract This s...

Income Smoothing, Investor Reaction and Earnings Persistence

The main objective of this study was to investigate the effect of income smoothing on investors reaction to Earnings Persistence of companies listed on the Stock Exchange in Tehran. The population of the study was companies listed on the Stock Exchange in Tehran, the sample size due to screening method and after removing outliers is equal to 118 companies. In this study, earnings persistence an...