The Information Content of SEC Filings and Information Environment: A Variance Decomposition Analysis
使用方差分解方法，分析SEC文件和初步盈利公告中现金流、应计项目和预期回报新闻对意外收益波动性的贡献，发现现金流新闻价值相关性最高，且信息成分的价值相关性受投资者结构影响。
Using the Vuolteenaho (2002) variance decomposition methodology, this study assesses the relative value relevance of cash flow, accrual, and expected return news on SEC and preliminary earnings filing dates, as measured by their contribution to the volatility of unexpected returns. Cash flow news is found to be more valuerelevant than accrual news. Although expected return (risk) news is the least valuerelevant, it is significantly correlated with changes in betas and returns at the preliminary and SEC filing dates, indicating association with changes in firm risk and discount rates. This study also documents that these informational components contain less (more) value-relevant information at the SEC filing date for firms with a higher proportion of long-term (short-term) sophisticated investors after controlling for other dimensions of the information environment.