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Return Variation (return + variation)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Kinds of Return Variation

  • firm-specific return variation
    		•

    Selected Abstracts

    Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing?

    JOURNAL OF ACCOUNTING RESEARCH, Issue 5 2003
    Artyom Durnev
    ABSTRACT Roll [1988] observes low R2 statistics for common asset pricing models due to vigorous firm-specific return variation not associated with public information. He concludes that this implies "either private information or else occasional frenzy unrelated to concrete information"[p. 56]. We show that firms and industries with lower market model R2 statistics exhibit higher association between current returns and future earnings, indicating more information about future earnings in current stock returns. This supports Roll's first interpretation: higher firm-specific return variation as a fraction of total variation signals more information-laden stock prices and, therefore, more efficient stock markets. [source]

    Value-Enhancing Capital Budgeting and Firm-specific Stock Return Variation

    THE JOURNAL OF FINANCE, Issue 1 2004
    Art Durnev
    ABSTRACT We document a robust cross-sectional positive association across industries between a measure of the economic efficiency of corporate investment and the magnitude of firm-specific variation in stock returns. This finding is interesting for two reasons, neither of which is a priori obvious. First, it adds further support to the view that firm-specific return variation gauges the extent to which information about the firm is quickly and accurately reflected in share prices. Second, it can be interpreted as evidence that more informative stock prices facilitate more efficient corporate investment. [source]

    Does Greater Firm-Specific Return Variation Mean More or Less Informed Stock Pricing?

    JOURNAL OF ACCOUNTING RESEARCH, Issue 5 2003
    Artyom Durnev
    ABSTRACT Roll [1988] observes low R2 statistics for common asset pricing models due to vigorous firm-specific return variation not associated with public information. He concludes that this implies "either private information or else occasional frenzy unrelated to concrete information"[p. 56]. We show that firms and industries with lower market model R2 statistics exhibit higher association between current returns and future earnings, indicating more information about future earnings in current stock returns. This supports Roll's first interpretation: higher firm-specific return variation as a fraction of total variation signals more information-laden stock prices and, therefore, more efficient stock markets. [source]

    Value-Enhancing Capital Budgeting and Firm-specific Stock Return Variation

    THE JOURNAL OF FINANCE, Issue 1 2004
    Art Durnev
    ABSTRACT We document a robust cross-sectional positive association across industries between a measure of the economic efficiency of corporate investment and the magnitude of firm-specific variation in stock returns. This finding is interesting for two reasons, neither of which is a priori obvious. First, it adds further support to the view that firm-specific return variation gauges the extent to which information about the firm is quickly and accurately reflected in share prices. Second, it can be interpreted as evidence that more informative stock prices facilitate more efficient corporate investment. [source]