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 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 …

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 …

mandatory profit warning regulation of mainland China, but other firms listed only in Hong Kong only need to follow the … spillover effect, i.e. whether these Chinese dual-listed firms influence their peers only listed in Hong Kong to release profit … warnings. We find that firms only listed in Hong Kong are more likely to issue profit warnings if their Chinese dual …