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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 …
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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 …
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. Our empirical findings show that: (1) industries with higher sunk capital costs and profit uncertainty have significantly …
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This study examines whether key characteristics of analysts' forecasts — timeliness, accuracy, and informativeness — change when investor demand for information is likely to be especially high, i.e., during periods of high uncertainty. Findings reveal that when uncertainty is high, analysts'...
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