| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18882 |
| 来源ID | Working Paper 18882 |
| Learning about CEO Ability and Stock Return Volatility | |
| Yihui Pan; Tracy Yue Wang; Michael S. Weisbach | |
| 发表日期 | 2013-03-14 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | When there is uncertainty about a CEO's quality, news about the firm causes rational investors to update their expectation of the firm's profitability for two reasons: Updates occur because of the direct effect of the news, and also because the news can cause an updated assessment of the CEO's quality, affecting expectations of his ability to generate future cash flows. As a CEO's quality becomes known more precisely over time, the latter effect becomes smaller, lowering the stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about fundamentals, uncertainty about CEO quality is also a source of stock return volatility, which decreases over a CEO's tenure as the market learns the CEO's quality more accurately. We formally model this idea, and evaluate its implications using a large sample of CEO turnovers in U.S. public firms. Our estimates indicate that there is statistically significant and economically important market learning about CEO ability, even for CEOs whose appointments appear to be unrelated to their predecessors' performance. Also consistent with the learning model is the fact that the learning curve appears to be convex in time, and learning is faster when there is higher ex ante uncertainty about the CEO's ability and more transparency about the firm's prospects. Overall, uncertainty about management quality appears to be an important source of stock return volatility. |
| 主题 | Financial Economics ; Corporate Finance ; Other ; Accounting, Marketing, and Personnel |
| URL | https://www.nber.org/papers/w18882 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576557 |
| 推荐引用方式 GB/T 7714 | Yihui Pan,Tracy Yue Wang,Michael S. Weisbach. Learning about CEO Ability and Stock Return Volatility. 2013. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18882.pdf（2159KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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