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Keywords: out-of-sample tests
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Journal Articles
Forecasting Market Volatility: The Role of Earnings Announcements
Available to Purchase
Journal:
The Accounting Review
The Accounting Review (2024) 99 (4): 251–279.
Published: 01 July 2024
... day, when EAs convey negative news, and for EA information about core earnings. Out-of-sample tests confirm that forecasts incorporating EA information better predict short-run market volatility than forecasts omitting EA information. We conclude that firm-level EAs are a significant source...
Includes: Supplementary data
