Does volatility improve UK earnings forecasts?

Nikola Petrovic, Stuart Manson, Jerry Coakley

Producción científica: Contribución a una revistaArtículorevisión exhaustiva

6 Citas (Scopus)


We investigate the relation between UK accounting earnings volatility and the level of future earnings using a unique sample comprising some 10,480 firm-year observations for 1,481 non-financial firms over the 1985-2003 period. The findings confirm the in-sample result of an inverse volatility-earnings relation only for the 1998-2003 sub-period and for the most profitable firms. The out-of-sample forecast accuracy for the top earnings quintile improves when volatility is added as a regressor to a model including only lagged earnings. The findings are consistent with the over-investment hypothesis and the view that the earnings of the most volatile firms tend to mean revert more rapidly.

Idioma originalInglés
Páginas (desde-hasta)1148-1179
Número de páginas32
PublicaciónJournal of Business Finance and Accounting
EstadoPublicada - nov. 2009
Publicado de forma externa


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