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What information in financial statements could be used to predict the risk of equity investment?
Liu, Min - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24
) and abnormal changes in profit margins (ABPM) to measure the uncertainty embedded in the accounting earnings. I measure … ABG (ABPM) as the difference between the current value of sales growth rate (profit margin) and its benchmark, a weighted … value of the three preceding years’ sales growth rate (profit margin). Then, I quantify whether and to what extent the news …
Persistent link: https://www.econbiz.de/10012626688
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Analyst forecasts during the COVID-19 pandemic : evidence from REITs
Anglin, Paul M.; Cui, Jianxin; Gao, Yanmin; Zhang, Li - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-23
The COVID-19 pandemic disrupts capital markets and confuses decision makers. This event represents an opportunity to better understand how financial analysts forecast earnings. We focus on forecasts for Real Estate Investment Trusts (REITs) in the United States, since REITs are relatively...
Persistent link: https://www.econbiz.de/10012628786
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How informative are earnings forecasts?
Bruijn, Bert de; Franses, Philip Hans - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-20
We constructed forecasts of earnings forecasts using data on 406 firms and forecasts made by 5419 individuals with on average 25 forecasts per individual. We verified previously found predictors, which are the average of the most recent available forecast for each forecaster and the difference...
Persistent link: https://www.econbiz.de/10011895745
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The unusual trading volume and earnings surprises in China’s market
Chong, Terence Tai-Leung; Wu, Yueer; Su, Jue - In: Journal of risk and financial management : JRFM 13 (2020) 10/244, pp. 1-17
This study examines the empirical relationship between unusual trading volume and earnings surprises in China´s A-share market. We provide evidence that an unusually low trading volume can signify negative information about firm fundamentals. Moreover, unusual trading volumes could predict...
Persistent link: https://www.econbiz.de/10012387154
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Earnings Less Risk-Free Interest Charge (ERIC) and stock returns - a value-based management perspective on ERIC’s relative and incremental information content
Lueg, Rainer; Toft, Jon Svennesen - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-21
This paper investigates the relative and incremental information content of KPMG's recently developed metric for shareholder value creation: earnings less risk-free interest charge (ERIC). We assess if ERIC has a better ability to predict stock returns than earnings, cash flow from operations...
Persistent link: https://www.econbiz.de/10013382189
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Audit committee diversity, analysts' forecast accuracy and earnings management : evidence from Malaysia
Marziana Madah Marzuki - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-27
This paper aims to investigate the effect of audit committee ethnicity, as part of the diverse cultures in Malaysia, on analysts' forecast accuracy. In addition, this study investigates further the interactions between the unique cultures in Malaysia and earnings management to determine whether...
Persistent link: https://www.econbiz.de/10013273021
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Asymmetric realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109
In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10011553303
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The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes
Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93
The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...
Persistent link: https://www.econbiz.de/10011556115
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Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?
Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31
The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019....
Persistent link: https://www.econbiz.de/10012872607
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The skewness risk in the energy market
Yoon, Jungah; Ruan, Xinfeng; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-24
In this paper, we study the skewness risk and its return predictability in the energy market. Skewness risk is often used to measure the possibility of market crash. We study both physical skewness (market skewness and cross-sectional average realized skewness) estimated from underlying stock...
Persistent link: https://www.econbiz.de/10012801590