Volatility and risk relevance of comprehensive income

Khan, Shahwali; Bradbury, Michael E.

doi:10.1016/j.jcae.2014.01.001

Cited by 36 publications

(73 citation statements)

References 16 publications

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“…Similar to the Market Model, to get annual idiosyncratic volatility using the Fama-French Model, the standard monthly residual deviation from the above equation needs to be multiplied by √12. Furthermore, stock returns volatility is proxied by the standard deviation of monthly stock returns follows Khan and Bradbury (2014); Khan. and Bradbury (2015).…”

Section: Methodsmentioning

confidence: 99%

“…Also, this study uses financial leverage and net income volatility as control variables. In this study, financial leverage as measured by total liabilities divided by total equity each year as used by Khan and Bradbury (2014); Khan. and Bradbury (2015).…”

Section: Methodsmentioning

confidence: 99%

“…Net income volatility follows the proxy used by Khan and Bradbury (2014), Khan. and Bradbury (2015) and Black (2014).…”

Section: Methodsmentioning

confidence: 99%

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Do Derivative Instruments Increase Firm Risk for Indonesia Non-Financial Companies?

Firmansyah¹,

Utami²,

Umar³

et al. 2020

International Journal of Business, Economics and Management

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Section: Methodsmentioning

confidence: 99%

Section: Methodsmentioning

confidence: 99%

See 1 more Smart Citation

Do Derivative Instruments Increase Firm Risk for Indonesia Non-Financial Companies?

Firmansyah¹,

Utami²,

Umar³

et al. 2020

International Journal of Business, Economics and Management

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“…O impacto do ori não é consistente ao longo do período em análise nem nos diversos setores devido à elevada volatilidade de valor (variações positivas ou negativas, de pequeno e grande montante) dos seus elementos. Na linha de conclusões de outros autores (Khan & Bradbury, 2014), constata-se que o resultado líquido incorpora um maior grau de previsibilidade do que o resultado integral, apesar de os resultados não permitirem hierarquizar a relevância dos dois resultados.…”

Section: Conclusõesunclassified

“…À luz da teoria da eficiência dos mercados, não é expectá-vel que alterações na apresentação do ori induzam alterações significativas no valor dos títulos, na medida em que não alteram os valores contabilísticos existentes. Contudo, à luz da teoria positiva da contabilidade, a enfatização do ori, de natureza mais transitória, volátil e de risco mais elevado (Khan & Bradbury, 2014), pode ter efeitos no preço das ações.…”

Section: Introductionunclassified

A utilidade do resultado integral: caso Euronext Lisbon

Gonçalves

Andraz

Guerreiro

et al. 2018

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RESUMO: Analisa-se a relevância do resultado integral versus resultado líquido das componentes do outro resultado integral, considerando os fatores ano e setor, para o preço e retorno dos títulos cotados na Euronext Lisbon. Com base nos relatórios e contas consolidadas do período 2010-2015 (36 empresas e 211 observações), procura-se aferir se as componentes do resultado integral acrescentam poder explicativo ao resultado líquido e, recorrendo aos modelos do preço e do retorno, se são incorporadas no valor de mercado. A análise comparada dos modelos permite conclusões mais robustas e pertinentes sobre a utilidade do outro resultado integral. Confirma-se uma diferença estatisticamente significativa entre o resultado integral e o resultado líquido. Numa análise anual e sectorial, essa diferença não é consistente, sugerindo o efeito das características de cada setor e a natureza irregular (valor e sinal) das componentes do outro resultado integral em cada ano. Essa informação é refletida no valor das ações quando é material ou sinaliza riscos de mercado. As conclusões são consistentes com outros estudos e são pertinentes para as entidades normalizadoras e reguladoras, por permitir equacionar a informação a detalhar no resultado integral, para analistas e investidores, pela natureza dos impactos esperados na formação do valor de mercado. PALAVRAS-CHAVE:Euronext Lisbon, outro resultado integral, resultado integral, resultado líquido, valor de mercado. Contabilidad y Finanzas USEFULNESS OF THE OVERALL RESULT FOR MARKET VALUE: THE CASE OF EURONEXT LISBONABSTRACT: This research aims to study the importance of the global result compared to the net result of the components of another global result, considering the year and the sector factors, for the price and return of the securities traded on the Euronext Lisbon. Based on the reports and consolidated accounts (36 companies and 211 observations) with quoted securities (2010)(2011)(2012)(2013)(2014)(2015), the goal is to know if the components of the comprehensive financial results have an explanatory power, and if such results are valued by investors in the price and return model. The option for the comparative analysis of models allows more solid and relevant conclusions. A statistically significant difference between the global result and the net result is confirmed. A statistically significant difference between the overall result and the net result is confirmed. However, it is not consistent within the analysis for each year or sector, which shows the influence of each sector's characterictics and the irregular nature (value and signal) of the components of other global results for each year. It is confirmed this information is reflected on the market value when it is material or signals market risks. The results of this research are consistent with other studies, but limited by the size of the sample and the small size of some sectors. However, this study contributes to the literature on this subject since results validate the controversy about the relevance of a glo...

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The value relevance of Other Comprehensive Income: Extensive evidence from Europe

2020

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This study investigates the value relevance of the Other Comprehensive Income (OCI). Limited literature has focused on the relevance on equity price and return. We go further by including the usefulness of OCI volatility on equity total risk which contributes to the inconclusive debate on how markets perceive different pieces of accounting information. After the adoption of the IAS (1), companies must disclose information about OCI, which shifts the focus from net income to comprehensive income. It shows the return that a company has made on its economic resources, determining a potential support for improving investors' decision‐making process. Contrarily, some studies demonstrated that comprehensive income is not a true performance indicator because it includes nonrecurring items (i.e., unrealized gains and losses related to the change in the fair market value of available‐for‐sales securities). To test the relevance aspects of the OCI, we focus on the European context, and in particular on the analysis of the super sector leaders in Europe, the companies of the STOXX 50 index over the period from 2010 to 2016. We find a weak negative association between OCI and equity price, and it is a firm specific effect. Similar weak mixed relationships with equity return is found and in particular it is a year‐specific effect. In addition, our findings reveal that the volatility of OCI is positively related to equity total risk. Compared to U.S and other international contexts, the findings provide novel insights at the European Union level about the inconsistent valuation usefulness of OCI.

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Volatility and risk relevance of comprehensive income

Cited by 36 publications

References 16 publications

Do Derivative Instruments Increase Firm Risk for Indonesia Non-Financial Companies?

Do Derivative Instruments Increase Firm Risk for Indonesia Non-Financial Companies?

A utilidade do resultado integral: caso Euronext Lisbon

The value relevance of Other Comprehensive Income: Extensive evidence from Europe

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