Does volatility improve UK earnings forecasts?

N Petrovic, S Manson, J Coakley

Research output: Other contribution

Abstract

We investigate the relation between UK accounting earnings volatility and the level of future earnings in a risk management framework. Our unique sample comprises some 11,107 firm-year observations for 1,548 non-financial firms over the 1980-2003 period. The findings confirm the established in-sample result of an inverse volatility-earnings relation. This is more pronounced as the current level of earnings and the firm's growth opportunities increase. However, we find that earnings are mainly explained by lagged earnings and there is no improvement in out-of-sample forecast accuracy when volatility is added as a regressor.
Translated title of the contributionDoes volatility improve UK earnings forecasts?
Original languageEnglish
TypePDF
Number of pages49
Publication statusPublished - 1 Aug 2007

Bibliographical note

Title of Journal: University of Bristol On-Line Repository (ROSE)
Page From: 1
Page To: 49
Other: Working Paper. Second round of refereeing at Journal of Business Finance and Accounting

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