公司层面信息不确定性的代价

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-07-08 DOI:10.1016/j.frl.2024.105782

Xi Wang , Chao Gao , Tianfu Wang

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引用次数: 0

摘要

公司层面的不确定性在本质上很难衡量。我们根据盈利公告回报所隐含的不确定性溢价，构建了一种新的公司层面信息不确定性度量方法。这种新的衡量方法与其他公司层面的不确定性衡量方法有着本质区别。我们发现，在风险调整基础上，高不确定性公司每年的表现比低不确定性公司高出 9.59%。此外，这种收益预测性可持续长达五个季度。我们的不确定性度量及其收益可预测性主要是由特异性成分驱动的。总体而言，我们的研究结果支持不确定性溢价的存在，并对不确定性的可对冲性表示怀疑。

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The price of firm-level information uncertainty

Firm-level uncertainty is difficult to measure in nature. We construct a new measure of firm-level information uncertainty based on uncertainty premium implied by earnings announcement returns. This new measure fundamentally differs from other firm-level uncertainty measures. We find that high-uncertainty firms outperform low-uncertainty firms by 9.59 % per annum on a risk-adjusted basis. Furthermore, this return predictability persists for up to five quarters. Our uncertainty measure and its return predictability are primarily driven by the idiosyncratic component. Overall, our results support the existence of an uncertainty premium and cast doubt on the hedgeability of uncertainty.

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance