Financial reporting quality and idiosyncratic return volatility

Journal Article (Journal Article)

Campbell et al. (2001) document that firms' stock returns have become more volatile in the U.S. since 1960. We hypothesize and find that deteriorating earnings quality is associated with higher idiosyncratic return volatility over 1962-2001. These results are robust to controlling for (i) inter-temporal changes in the disclosure of value-relevant information, sophistication of investors and the possibility that earnings quality can be informative about future cash flows; (ii) stock return performance, cash flow operating performance, cash flow variability, growth, leverage and firm size; and (iii) new listings, high-technology firms, firm-years with losses, mergers and acquisitions and financial distress. © 2010 Elsevier B.V.

Full Text

Duke Authors

Cited Authors

  • Rajgopal, S; Venkatachalam, M

Published Date

  • February 1, 2011

Published In

Volume / Issue

  • 51 / 1-2

Start / End Page

  • 1 - 20

International Standard Serial Number (ISSN)

  • 0165-4101

Digital Object Identifier (DOI)

  • 10.1016/j.jacceco.2010.06.001

Citation Source

  • Scopus