Contemporary Accounting Research , VOL, 33, NO 2 (2), 6 August 2015
盈余风险预测
作者：T Konstantinidi (Cass Business School, City University London), PF Pope (London School of Economics and Political Science)
摘要：传统的盈余风险度量以历史标准差为基础，需要很长的时间序列数据，而且当盈余分布偏离正常时是不够的。我们介绍一种基于当前基本面和分位数回归的方法来预测反映在未来收益分布中的风险。我们使用分位数预测作为输入，得出分散性，不对称性和尾部风险在未来盈利的测度。我们的分析表明，基于应计项目、现金流量、特殊项目和损失指标的简约模型可以预测一定能力下盈利分布的形状。我们提供的证据表明，以样本外分位数为基础的风险预测可以逐渐解释分析师的权益和信用风险评级，未来收益波动，公司债券利差和基于分析师的未来盈利不确定性测度。我们的研究提供了观察盈利因素和未来盈利风险的直接关系的见解。本研究还介绍了风险的测度，这对于股权和信贷市场的参与者来说都是有用的。
Forecasting Risk in Earnings
T Konstantinidi (Cass Business School, City University London), PF Pope (London School of Economics and Political Science)
ABSTRACT
Conventional measures of risk in earnings based on historical standard deviation require long time-series data and are inadequate when the distribution of earnings deviates from normality. We introduce a methodology based on current fundamentals and quantile regression to forecast risk reflected in the shape of the distribution of future earnings. We derive measures of dispersion, asymmetry, and tail risk in future earnings using quantile forecasts as inputs. Our analysis shows that a parsimonious model based on accruals, cash flows, special items, and a loss indicator can predict the shape of the distribution of earnings with reasonable power. We provide evidence that out-of-sample quantile-based risk forecasts explain incrementally analysts' equity and credit risk ratings, future return volatility, corporate bond spreads, and analyst-based measures of future earnings uncertainty. Our study provides insights into the relations between earnings components and risk in future earnings. It also introduces risk measures that will be useful for participants in both the equity and credit markets.
原文链接：http://xueshu.baidu.com/s?wd=paperuri%3A%28a4d725598cb4c0f3b8df81f596882539%29&filter=sc_long_sign&tn=SE_xueshusource_2kduw22v&sc_vurl=http%3A%2F%2Fonlinelibrary.wiley.com%2Fdoi%2F10.1111%2F1911-3846.12158%2Ffull&ie=utf-8&sc_us=8629470176406186669
翻译：黄涛
