Financial reporting quality and idiosyncratic return volatility

Journal of Accounting and Economics

Volumn 51, Issue 1-2, 2011, Pages 1-20

  Rajgopal, Shiva ^a   Venkatachalam, Mohan ^b  

^a EMORY UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

Author keywords

Abnormal accruals; Earnings quality; Idiosyncratic volatility; Temporal analysis

Indexed keywords

EID: 79951517242     PISSN: 01654101     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jacceco.2010.06.001     Document Type: Article

References (62)

1. Aboody D., Hughes J., Liu J. Earnings quality, insider trading and cost of capital. Journal of Accounting Research 2005, 43:651-673.
2. Amir E., Lev B. Value-relevance of nonfinancial information: the wireless communications industry. Journal of Accounting and Economics 1996, 22:3-30.
3. Ashbaugh-Skaife, H., Gassen, J., Lafond, R., 2006. Does stock price synchronicity represent firm-specific information? The international evidence. Working Paper, University of Wisconsin, Madison.
4. Badertscher, B., Collins, D.W., Lys, T.Z., 2008. Earnings management and the predictive ability of accruals with respect to future cash flows. Working Paper, Northwestern University.
5. Bali T.G., Cakici N., Yan X., Zhang Z. Does idiosyncratic risk really matter?. Journal of Finance 2005, 66:905-929.
6. Beaver W. The information content of annual earnings announcements. Journal of Accounting Research 1968, 6:67-92.
7. Bartram, S., Brown, G., Stulz, R., 2009. Why do foreign firms have less idiosyncratic risk than U.S. firms? Working Paper, Ohio State University.
8. Brandt M., Brav A., Graham J., Kumar A. The idiosyncratic volatility puzzle: time trend or speculative episodes?. Review of Financial Studies 2010, 23(2):863-899.
9. 2 in accounting research: measuring changes in value relevance over the last four decades. Journal of Accounting Economics 1999, 28:83-115.
10. Callen J.L., Segal D. Do accruals drive stock returns? A variance decomposition analysis. Journal of Accounting Research 2004, 42:527-560.
11. Campbell J.Y., Lettau M., Malkiel B.G., Xu Y. Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance 2001, 56:1-43.
12. Chen, C., Huang, A.G., Jha, R., 2010. Idiosyncratic return volatility, economic activity, and managerial discretion. Working Paper, University of Waterloo.
13. Cohen D.A., Dey A., Lys T.Z. Real and accrual-based earnings management in the pre- and post-Sarbanes-Oxley periods. The Accounting Review 2008, 83:757-787.
14. Collins D.W., Maydew E., Weiss I. Changes in the value-relevance of earnings and book values over the past forty years. Journal of Accounting and Economics 1997, 24:39-67.
15. Collins D.W., Li O.Z., Xie H. What drives the increased informativeness of earnings announcements over time?. Review of Accounting Studies 2009, 14:1-30.
16. Collins D.W., Pincus M., Xie H. Equity valuation and negative earnings: the role of book value of equity. The Accounting Review 1999, 74:29-61.
17. Dasgupta S., Gan J., Gao N. Transparency, price informativeness, stock return synchronicity: theory and evidence. Journal of Financial and Quantitative Analysis 2009, 44(2).
18. Dechow P., Dichev I. The quality of accruals and earnings: the role of accrual estimation errors. The Accounting Review 2002, 77(Suppl.):35-59.
19. Dechow, P., Ge, W., Schrand, C.. Understanding earnings quality: a review of the proxies, their determinants and their consequences. Working paper, University of California, Berkeley.
20. Diamond D., Verrecchia R. Disclosure, liquidity, and the cost of capital. Journal of Finance 1991, 46:1325-1360.
21. Duffie G. Stock returns and volatility: a firm-level analysis. Journal of Financial Economics 1995, 37:399-420.
22. Easley D., Hvidkjaer S., O'Hara M. Is information risk a determinant of asset returns?. Journal of Finance 2002, 57:2185-2221.
23. Easley D., O'Hara M. Information and the cost of capital. Journal of Finance 2004, 69:1553-1583.
24. Ertimur, Y., 2004. Accounting numbers and information asymmetry: evidence from loss firms. Working Paper, Stanford University.
25. Fama E., French K. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 1993, 33:3-56.
26. Fama E., French K. Industry costs of equity. Journal of Financial Economics 1997, 43:153-193.
27. Fama E., French K. Newly listed firms: fundamentals, survival rates, and returns. Journal of Financial Economics 2004, 73:229-269.
28. Francis J., LaFond R., Olsson P., Schipper K. The market pricing of accruals quality. Journal of Accounting and Economics 2005, 39:295-327.
29. Francis J., Schipper K. Have financial statements lost their relevance?. Journal of Accounting Research 1999, 37:319-352.
30. Francis J., Schipper K., Vincent L. Expanded disclosures and the increased usefulness of earnings announcements. The Accounting Review 2002, 77:515-546.
31. Froot K., Perold A., Stein J. Shareholder trading practices and corporate investment horizons. Journal of Applied Corporate Finance 1992, (September/October):42-58.
32. Givoly D., Hayn C. The changing time-series properties of earnings, cash flows and accruals: has financial reporting become more conservative?. Journal of Accounting and Economics 2000, 29:287-320.
33. Goyal A., Santa-Clara P. Idiosyncratic risk matters!. Journal of Finance 2003, 58:975-1008.
34. Graham J., Harvey C., Rajgopal S. The economic implications of corporate financial reporting. Journal of Accounting and Economics 2005, 40:3-73.
35. Hanlon, M., Rajgopal, S., Shevlin, T., 2004. Large sample evidence on the relation between stock options and risk taking. Working Paper, University of Washington.
36. Harris L. Trading and Exchanges: Market Microstructure for Practitioners 2003, Oxford University Press.
37. Healy P., Hutton A., Palepu K. Stock performance and intermediation changes surrounding sustained increases in disclosure. Contemporary Accounting Research 1999, 485-520.
38. Hou, K., Peng, L., Xiong, W., 2006. R2 and price inefficiency. Working Paper, Ohio State University.
39. Hribar P., Collins D. Errors in estimating accruals: implications for empirical research. Journal of Accounting Research 2002, 40:105-134.
40. Irvine P., Pontiff J. Idiosyncratic return volatility, cash flows, and product market competition. Review of Financial Studies 2009, 22(3):1149-1177.
41. Jin L., Myers S. R-squared around the world: new theory and new tests. Journal of Financial Economics 2006, 79:257-292.
42. Jones J. Earnings management during import relief investigations. Journal of Accounting Research 1991, 29:193-228.
43. Kelly, P.J., 2007. Information efficiency and firm specific return variation. Working Paper. University of South Florida.
44. Kothari S.P. The role of financial reporting in reducing financial risks in the market. Building an Infrastructure for Financial Stability 2000, 89-102. Federal Reserve Bank of Boston. E. Rosengren, J. Jordan (Eds.).
45. Kothari S.P., Leone A.J., Wasley C.E. Performance matched discretionary accrual measures. Journal of Accounting and Economics 2005, 39:163-197.
46. Landsman W.R., Maydew E.L. Has the information content of quarterly earnings announcements declined in the past three decades?. Journal of Accounting Research 2002, 40:797-808.
47. Lee C. Earnings news and small traders. Journal of Accounting and Economics 1992, 15:265-302.
48. Leuz C., Verrecchia R. Economic consequences of increased disclosure. Journal of Accounting Research 2000, 38:91-124.
49. Lev B., Zarowin P. The boundaries of financial reporting and how to extend them. Journal of Accounting Research 1999, 37:353-385.
50. McNichols M. Discussion of 'The quality of accruals and earnings: the role of accrual estimation errors.'. The Accounting Review 2002, 77(Suppl.):61-69.
51. Morck R., Yeung B., Yu W. The information content of stock markets: why do emerging markets have synchronous stock price movements?. Journal of Financial Economics 2000, 58:215-260.
52. Newey W.K., West K.D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 1987, 55:703-708.
53. O'Hara M. Presidential address: liquidity and price discovery. Journal of Finance 2003, 58:1335-1354.
54. Pastor L., Veronesi P. Stock valuation and learning about profitability. Journal of Finance 2003, 58:1749-1789.
55. Pownall G., Schipper K. Implications of accounting research for the SEC's consideration of international accounting standards for U.S. Securities offerings. Accounting Horizons 1999, 12:259-280.
56. Ryan S., Zarowin P. Why has the contemporaneous linear returns-earnings relation declined?. The Accounting Review 2003, 78:523-553.
57. Subramanyam K.R. The pricing of discretionary accruals. Journal of Accounting and Economics 1996, 22:249-281.
58. Teoh, S.H., Yang, Y.G., Zhang, Y., 2009. R-square and market efficiency. Working paper, University of California at Irvine.
59. Vuolteenaho T. What drives firm-level stock returns?. Journal of Finance 2002, 57:233-264.
60. Watts R., Zimmerman J. Positive Accounting Theory 1986, Prentice-Hall, Englewood Cliffs, NJ.
61. Wei S.X., Zhang C. Why did individual stocks become more volatile?. Journal of Business 2006, 79:259-292.
62. Xu Y., Malkiel B.G. Investigating the behavior of idiosyncratic volatility. Journal of Business 2003, 76:613-644.