Publication
Does idiosyncratic return volatility capture information or noise?
| dc.contributor.author | Pereira, Cláudia | |
| dc.contributor.author | Cerqueira, António | |
| dc.date.accessioned | 2017-11-06T13:51:18Z | |
| dc.date.available | 2017-11-06T13:51:18Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | This paper examines the association between earnings management and firm-specific return volatility for a sample of firms listed on the London Stock Exchange. Identifying the determinants of idiosyncratic volatility has been a topical issue since the Campbell et al. (2001) study which documents a noticeable increase in average firm-level volatility across time. Using panel data, we find that poor information environments resulting from earnings management is associated with higher firm-specific return volatility. This finding is consistent with the noise-based approach of firm-specific return volatility. In addition we provide empirical evidence that such association gets stronger when combining accruals quality and the dispersion in analysts’ forecast to describe a poor information environment. These findings are likely to contribute to the debate on whether firm-specific return volatility captures more firm-specific information being impounded in stock prices or essentially reflects noise. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.doi | 10.1504/IJTGM.2018.097277 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.22/10357 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.subject | Idiosyncratic volatility | pt_PT |
| dc.subject | Accruals quality | pt_PT |
| dc.title | Does idiosyncratic return volatility capture information or noise? | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | Ostrava | pt_PT |
| oaire.citation.title | 16th INTERNATIONAL CONFERENCE ON FINANCE AND BANKING RETHINKING RISK IN FINANCIAL MARKETS AND INSTITUTIONS | pt_PT |
| person.familyName | Pereira | |
| person.givenName | Cláudia | |
| person.identifier.ciencia-id | C912-6892-F41A | |
| person.identifier.orcid | 0000-0002-2643-1824 | |
| person.identifier.rid | T-5392-2017 | |
| person.identifier.scopus-author-id | 57143563400 | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |
| relation.isAuthorOfPublication | ffd30b67-66d0-4666-85b4-62dd06cd4230 | |
| relation.isAuthorOfPublication.latestForDiscovery | ffd30b67-66d0-4666-85b4-62dd06cd4230 |