This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a … risk premium. We find that investors anticipate some earnings announcements to convey news that increases market return … volatility and pay a premium to hedge this non-diversifiable risk. In particular, we find evidence of risk premiums embedded in …

We revisit the literature on using accounting earnings to estimate firm-level systematic risk, using macroeconomic … indicators rather than listed-firm indexes to measure aggregate risk. Conventional listed-firm indexes reflect an … unrepresentative subset of aggregate assets and thus are expected to substantially mis-measure aggregate and systematic risk (Roll …

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk-factor exposures, implied costs of capital, liquidity, and future investments. We also apply our …

earnings affect a firm's default risk. Our results indicate that in the era of fair value accounting, whether the dividend … payment originates from unrealized or realized earnings has a significant effect on a firm's default risk above and beyond the … effect of the extent of the payment. Specifically, controlling for various determinants of financial risk, including the …

This study examines whether idiosyncratic risk significantly affects earnings quality in non-financial companies listed … on the Indonesia Stock Exchange. Research on developing countries, especially Indonesia, which links idiosyncratic risk …, which is the residual value of the Kasznik and Dechow-Dichev model, and idiosyncratic risk, which is measured based on the …