Earnings Volatility and Earnings Prediction: Analysis and UK Evidence
用英国公司1991-2010年数据，证实盈利持续性与波动性负相关，并指出该结果可能源于暂时性盈利成分导致的估计偏差，对低波动性公司的盈利预测有显著改进。
Abstract This paper confirms that US evidence of a negative relationship between earnings persistence and earnings volatility applies to UK firms over the period 1991–2010. Our analytical framework highlights the possibility that this result may reflect downward estimation bias in earnings persistence (and persistence of cash flow and accruals components of earnings) related to transitory earnings elements. Out‐of‐sample forecasts, based on models estimated for earnings volatility quartiles, suggest significant improvement in earnings forecasts for lower volatility firms. The results also suggest that the negative association between earnings persistence and volatility may be due to both estimation bias and variation in core earnings persistence.