Accounting Quality, Information Risk and Implied Volatility Around Earnings Announcements

2014 ◽  
Author(s):  
Seraina C. Anagnostopoulou ◽  
Andrianos E. Tsekrekos
Keyword(s):  
Implied Volatility ◽  
Earnings Announcements ◽  
Quality Information ◽  
Accounting Quality ◽  
Information Risk

Does mandatory corporate social responsibility disclosure affect share price responses to earnings announcements? Evidence from China

2021 ◽  
Author(s):  
Peixin Wang ◽  
Haijie Huang ◽  
Edward Lee ◽  
Jirada Petaibanlue
Keyword(s):  
Corporate Social Responsibility ◽  
Social Responsibility ◽  
Earnings Announcements ◽  
Share Price ◽  
Accounting Quality ◽  
Exogenous Shock ◽  
Earnings Response Coefficient ◽  
Csr Disclosure ◽  
Corporate Social ◽  
The Impact

We utilize the mandatory corporate social responsibility (CSR) disclosure regulation in China as an exogenous shock to evaluate the impact of such disclosures on investors as end-users of accounting information based on the analysis of share price responses to earnings announcements. Specifically, we observe that firms with mandated CSR disclosure experience an increase in earnings response coefficient and a decrease in post-earnings announcement drift. Furthermore, these effects are greater among CSR-sensitive industries, state-owned enterprises, and lower accounting quality firms. Additional analysis also reveals that these effects vary by the quality of CSR disclosure and CSR performance. These findings suggest that CSR disclosure provides incremental information that are useful for investors to assess firms’ future prospects and uncertainties. A broader implication of our study is that mandating CSR disclosure could improve market information efficiency and benefit outside investors.

Intra-industry information transfers: evidence from changes in implied volatility around earnings announcements

2019 ◽  
Vol 24 (3) ◽  
pp. 927-971 ◽  
Author(s):  
Rebecca N. Hann ◽  
Heedong Kim ◽  
Yue Zheng
Keyword(s):  
Implied Volatility ◽  
Earnings Announcements ◽  
Information Transfers

scholarly journals Regulating Innovation with Uncertain Quality: Information, Risk, and Access in Medical Devices

2015 ◽  
Author(s):  
Matthew Grennan ◽  
Robert Town
Keyword(s):  
Medical Devices ◽  
Quality Information ◽  
Information Risk

Does analyst forecast dispersion represent investors’ perceived uncertainty toward earnings?

2020 ◽  
Vol 19 (3) ◽  
pp. 289-312
Author(s):  
Jundong (Jeff) Wang
Keyword(s):  
Negative Correlation ◽  
Private Information ◽  
Implied Volatility ◽  
Earnings Announcements ◽  
Analyst Forecast ◽  
Forecast Dispersion ◽  
Earnings Announcement ◽  
Content Type ◽  
Analyst Forecast Dispersion ◽  
Forward Looking

Purpose This paper aims to investigate the association between analyst forecast dispersion and investors’ perceived uncertainty toward earnings. Design/methodology/approach A new measure for investors’ expectations of earnings announcement uncertainty is constructed, using changes in implied volatility of option contracts prior to earnings announcements. Unlike other proxies of uncertainty, this measure isolates the incremental uncertainty regarding the upcoming earnings announcement and is a forward-looking measure. Findings Using this new proxy, this paper finds a significant negative correlation between analyst forecast dispersion and investors’ uncertainty regarding the upcoming earnings announcements. Further tests show that this negative correlation is driven by analysts’ private information acquisition rather than analysts; uncertainty toward upcoming earnings announcements. Additional cross-sectional tests show that this negative relationship is more pronounced in the subsample with lower earnings quality. Social implications This paper helps to further the understanding of the information content of analyst forecast dispersion, particularly the ways in which they gather and produce private information and their incentives for so doing. Originality/value This paper introduces a new market-based and forward-looking proxy of earnings announcement uncertainty that should be useful in future research. This paper also provides original empirical evidence that analysts gather and produce an additional private information to the market when facing noisy signals and that their information reduces investors’ uncertainty toward upcoming earnings announcements.

Sign in / Sign up

Export Citation Format

Share Document