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An empirical examination of disclosu...

Milian, Jonathan A.

An empirical examination of disclosure horizon: Evidence from the term structure of implied equity volatilities.

Record Type:	Electronic resources : Monograph/item
Title/Author:	An empirical examination of disclosure horizon: Evidence from the term structure of implied equity volatilities.
Author:	Milian, Jonathan A.
Description:	66 p.
Notes:	Source: Dissertation Abstracts International, Volume: 72-11, Section: A, page: .
Notes:	Adviser: Douglas J. Skinner.
Contained By:	Dissertation Abstracts International72-11A.
Subject:	Business Administration, Accounting.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3472911
ISBN:	9781124868684

An empirical examination of disclosure horizon: Evidence from the term structure of implied equity volatilities.
Milian, Jonathan A.

An empirical examination of disclosure horizon: Evidence from the term structure of implied equity volatilities. - 66 p.

Source: Dissertation Abstracts International, Volume: 72-11, Section: A, page: .

Thesis (Ph.D.)--The University of Chicago, 2011.

I develop and test a measure of the horizon of managers' corporate disclosures. This measure exploits information in the term structure of implied equity volatilities to gauge the relative extent to which the information underlying securities prices reflects long-term versus short-term uncertainty. The measure allows me to characterize managers' disclosures in terms of whether they provide information about long-term business strategies or are more oriented towards short-term operating results. In the cross-section, I find that the horizon measure is associated with variables that are likely to capture the extent to which firms' business models result in differing degrees of uncertainty about the long-term versus the short-term. For example, I find that firms with relatively greater long-term uncertainty have greater R&D intensity and more growth opportunities, consistent with them engaging in projects that are longer-term in nature. I then examine changes in the term structure of implied equity volatilities around earnings announcements to assess firms' disclosure horizons. I find that earnings announcements containing management forecasts have shorter disclosure horizons than earnings announcements not containing management forecasts. The relatively short-term nature of the information in bundled earnings announcements is consistent with the view that issuing earnings guidance is associated with a short-term focus by managers. The measure potentially expands researchers' ability to evaluate the nature of various types of corporate disclosures.

ISBN: 9781124868684Subjects--Topical Terms:

227519
Business Administration, Accounting.

An empirical examination of disclosure horizon: Evidence from the term structure of implied equity volatilities.
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245 1 3 $a An empirical examination of disclosure horizon: Evidence from the term structure of implied equity volatilities.
300 $a 66 p.
500 $a Source: Dissertation Abstracts International, Volume: 72-11, Section: A, page: .
500 $a Adviser: Douglas J. Skinner.
502 $a Thesis (Ph.D.)--The University of Chicago, 2011.
520 $a I develop and test a measure of the horizon of managers' corporate disclosures. This measure exploits information in the term structure of implied equity volatilities to gauge the relative extent to which the information underlying securities prices reflects long-term versus short-term uncertainty. The measure allows me to characterize managers' disclosures in terms of whether they provide information about long-term business strategies or are more oriented towards short-term operating results. In the cross-section, I find that the horizon measure is associated with variables that are likely to capture the extent to which firms' business models result in differing degrees of uncertainty about the long-term versus the short-term. For example, I find that firms with relatively greater long-term uncertainty have greater R&D intensity and more growth opportunities, consistent with them engaging in projects that are longer-term in nature. I then examine changes in the term structure of implied equity volatilities around earnings announcements to assess firms' disclosure horizons. I find that earnings announcements containing management forecasts have shorter disclosure horizons than earnings announcements not containing management forecasts. The relatively short-term nature of the information in bundled earnings announcements is consistent with the view that issuing earnings guidance is associated with a short-term focus by managers. The measure potentially expands researchers' ability to evaluate the nature of various types of corporate disclosures.
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