Learning About CEO Ability and Stock Return Volatility
研究发现CEO任期越长，股票收益波动性以凸形下降，且下降速度在CEO能力不确定性高、公司前景透明或CEO能力对价值创造更重要时更快，量化了CEO能力不确定性对波动性的贡献。
Consistent with predictions from a stylized Bayesian learning model stock return volatility declines with CEO tenure in a convex manner, even for CEOs whose appointments occur for exogenous reasons. The decline is faster when there is higher uncertainty about the CEO's ability when there is more transparency about the firm's prospects, and when CEO ability is more important in value creation. We quantify the importance of uncertainty about CEO ability relative to the firm's fundamental cash flow uncertainty in contributing to stock return volatility, highlighting the importance of management in creating value.