Journal of Accounting and Economics, Volume 51, Issues 1–2, February 2011, Pages 1–20

财务报告质量与股票收益的特质波动率

作者：Shiva Rajgopal (Emory University), Mohan Venkatachalam (Fuqua School of Business, Duke University)

摘要：Campbell等人（2001）指出1960年以后美国资本市场上股票收益率的波动性增大。我们推测并证实了在1962-2001年期间股票收益较高的特质波动率和盈余质量的下降紧密相关。在控制了以下变量的情况下，上述结果是稳健的：（1）价值相关信息披露过程中的跨期变动，投资者的成熟度以及盈余质量用来预测未来现金流的能力；（2）股票收益率的表现，现金流的运营能力，现金流变异性、成长性，杠杆率以及公司规模；（3）新上市公司，高新技术企业，以及企业发生损失、兼并与收购以及出现财务困境的年份。

关键词：特质波动率，盈余质量，时序分析法，异常应计项目

Financial reporting quality and idiosyncratic return volatility

Shiva Rajgopal (Emory University), Mohan Venkatachalam (Fuqua School of Business, Duke University)

ABSTRACT

Campbell et al. (2001) document that firms’ stock returns have become more volatile in the U.S. since 1960. We hypothesize and find that deteriorating earnings quality is associated with higher idiosyncratic return volatility over 1962–2001. These results are robust to controlling for (i) inter-temporal changes in the disclosure of value-relevant information, sophistication of investors and the possibility that earnings quality can be informative about future cash flows; (ii) stock return performance, cash flow operating performance, cash flow variability, growth, leverage and firm size; and (iii) new listings, high-technology firms, firm-years with losses, mergers and acquisitions and financial distress.

原文链接：http://www.sciencedirect.com/science/article/pii/S0165410110000261

翻译：汪国颂