The Effect of Reporting Streaks on Ex Ante Uncertainty

References

• Ball R, Kothari SP (1991) Security returns around earnings announcements. Accounting Rev. 66(4):718–738.Google Scholar
• Barron O, Kim O, Lim S, Stevens D (1998) Using analysts’ forecasts to measure properties of analysts’ information environment. Accounting Rev. 73(4):421–433.Google Scholar
• Barth M, Elliott J, Finn M (1999) Market rewards associated with patterns of increasing earnings. J. Accounting Res. 37(2):387–413.Crossref, Google Scholar
• Barth M, So E (2014) Non-diversifiable volatility risk and risk premiums at earnings announcements. Accounting Rev. 89(5):1579–1607.Crossref, Google Scholar
• Bekaert G, Wu G (2000) Asymmetric volatility and risk in equity markets. Rev. Financial Stud. 13(1):1–42.Crossref, Google Scholar
• Billings M, Jennings R (2011) The option market’s anticipation of information content in earnings announcements. Rev. Accounting Stud. 16(3):587–619.Crossref, Google Scholar
• Billings M, Jennings R, Lev B (2015) On guidance and volatility. J. Accounting Econom. 60(2–3):161–180.Crossref, Google Scholar
• Black F, Scholes M (1973) The pricing of options and corporate liabilities. J. Political Economy 81(3):637–654.Crossref, Google Scholar
• Bramati M, Croux C (2007) Robust estimators for the fixed effects panel data model. Econom. J. 10(3):521–540.Crossref, Google Scholar
• Cao J, Han B (2013) Cross section of option returns and idiosyncratic stock volatility. J. Financial Econom. 108(1):231–249.Crossref, Google Scholar
• Carr P, Wu L (2009) Variance risk premiums. Rev. Financial Stud. 22(3):1311–1341.Crossref, Google Scholar
• Cheong F, Thomas J (2011) Why do EPS forecast error and dispersion not vary with scale? Implications for analyst and managerial behavior. J. Accounting Res. 49(2):359–401.Crossref, Google Scholar
• Chu J, Dechow P, Hui KW, Wang AY (2019) Maintaining a reputation for consistently beating earnings expectations and the slippery slope to earnings manipulation. Contemporary Accounting Res. Forthcoming.Google Scholar
• Cohen D, Dey A, Lys T, Sunder S (2007) Earnings announcement premia and the limits to arbitrage. J. Accounting Econom. 43(2–3):153–180.Crossref, Google Scholar
• Culp C, Nozawa Y, Veronesi P (2018) Option-based credit spreads. Amer. Econom. Rev. 108(2):454–488.Crossref, Google Scholar
• Dubinsky A, Johannes M, Kaeck A, Seeger N (2018) Option pricing of earnings announcement risks. Rev. Financial Stud. 32(2):646–687.Crossref, Google Scholar
• Engle R, Ng V (1993) Measuring and testing the impact of news on volatility. J. Finance 48(5):1749–1778.Crossref, Google Scholar
• Fischer P, Jennings J, Soliman M (2014) Meeting, beating, streaks and bubbles. SSRN Working Paper, June 16, http://ssrn.com/abstract=2451249.Google Scholar
• Froot A (2001) The market for catastrophe risk: A clinical examination. J. Financial Econom. 60(2–3):529–571.Crossref, Google Scholar
• Gourier E (2016) Pricing of idiosyncratic equity and variance risks. Working paper, Queen Mary University, London.Google Scholar
• Graham J, Harvey C, Rajgopal S (2005) The economic implications of corporate financial reporting. J. Accounting Econom. 40(1–3):3–73.Crossref, Google Scholar
• Imhoff E, Lobo G (1992) The effect of ex-ante earnings uncertainty on earnings response coefficients. Accounting Rev. 67(2):427–439.Google Scholar
• Jiang G, Tian Y (2005) The model-free implied volatility and its information content. Rev. Financial Stud. 18(4):1305–1342.Crossref, Google Scholar
• Kasznik R, McNichols M (2002) Does meeting earnings expectations matter? Evidence from analyst forecast revisions and share prices. J. Accounting Res. 40(3):727–759.Crossref, Google Scholar
• Kim J, Li L, Lu L, Yu Y (2016) Financial statement comparability and expected crash risk. J. Accounting Econom. 61(2–3):294–312.Crossref, Google Scholar
• Liang L, Riedl E (2014) The effect of fair value vs. historical cost reporting model on analyst forecast accuracy. Accounting Rev. 89(3):1151–1177.Crossref, Google Scholar
• Lyle M, Naughton J 2016. Firm fundamentals and variance risk premiums. Working paper, Northwestern University, Chicago.Google Scholar
• Martin I (2019) What is the expected return the market? Quart. J. Econom. 132(1):367–433.Crossref, Google Scholar
• Martin I, Wagner C (2019) What is the expected return on a stock? J. Finance 74(4):1887–1929.Crossref, Google Scholar
• Matsumoto D (2002) Management’s incentives to avoid negative earnings surprises. Accounting Rev. 77(3):483–514.Crossref, Google Scholar
• Merton R (1974) On the pricing of corporate debt: The risk structure of interest rates. J. Finance 29(2):449–470.Google Scholar
• Myers J, Myers L, Skinner D (2007) Earnings momentum and earnings management. J. Accounting Auditing Finance 22(2):249–284.Crossref, Google Scholar
• Neururer T, Papadakis G, Riedl E (2016) Tests of investor learning models using earnings innovations and implied volatilities. Rev. Accounting Stud. 21(2):400–437.Crossref, Google Scholar
• Pastor L, Veronesi P (2003) Stock valuation and learning about profitability. J. Finance 58(5):1749–1789.Crossref, Google Scholar
• Patell J, Wolfson M (1979) Anticipated information releases reflected in call option prices. J. Accounting Econom. 1(1):117–140.Crossref, Google Scholar
• Patell J, Wolfson M (1981) The ex ante and ex post price effects of quarterly earnings announcements reflected in option and stock prices. J. Accounting Res. 19(2):434–458.Crossref, Google Scholar
• Rogers J, Skinner D, Van Buskirk A (2009) Earnings guidance and market uncertainty. J. Accounting Econom. 48(1):90–109.Crossref, Google Scholar
• Savor P, Wilson M (2016) Earnings announcements and systematic risk. J. Finance 71(1):83–138.Crossref, Google Scholar
• Skinner D, Sloan R (2002) Earnings surprises, growth expectations, and stock returns or don’t let an earnings torpedo sink your portfolio. Rev. Accounting Stud. 7(2–3):289–312.Crossref, Google Scholar
• Todorov V (2010) Variance risk premium dynamics: The role of jumps. Rev. Financial Stud. 23(1):345–383.Crossref, Google Scholar
• Yang H (2012) Capital market consequences of managers’ voluntary disclosure styles. J. Accounting Econom. 53(1–2):167–184.Crossref, Google Scholar