We evaluate whether reported accounting numbers are informative about earnings uncertainty and whether earnings uncertainty is priced. We use quantile regressions to forecast the standard deviation, skewness and kurtosis of future earnings. These three moments are important measures of earnings uncertainty because they reflect the size of the average deviation from expected earnings and the amount of extreme upside potential, extreme downside risk or both. We develop a novel approach for evaluating the reliability of our forecasts and we show that they are reliable. We also document that: (1) equity prices are increasing (decreasing) in the standard deviation and skewness (kurtosis) of lead return on equity and (2) credit spreads are increasing (decreasing) in the standard deviation and kurtosis (skewness) of lead return on assets. Our results indicate that historical financial statements are informative about earnings uncertainty and that earnings uncertainty is priced.

中文翻译：

---

未来收益的更高时刻

我们评估报告的会计数字是否可以提供有关收入不确定性的信息以及是否对收入不确定性进行定价。我们使用分位数回归来预测未来收益的标准差，偏度和峰度。这三个时刻是收益不确定性的重要衡量指标，因为它们反映了与预期收益的平均偏差的大小以及极端上行潜力，极端下行风险或两者的数量。我们开发了一种新颖的方法来评估我们的预测的可靠性，并证明它们是可靠的。我们还证明：（1）股票价格在铅的股本收益率的标准偏差和偏度（峰度）中正在增加（减小），并且（2）在信用差额的标准偏差和峰度（偏度）中信用点差正在增加（减小）。引导资产回报率。