We examine the predictive information content of the management forecasts of stock return volatility (i.e., expected volatility) that are disclosed in annual reports. We find that expected volatility predicts near-term and longer-term stock return volatility and earnings volatility incremental to implied volatility, historical volatility, firm characteristics, and alternative measures of uncertainty. We also find that expected volatility reflects managers’ private information about their firms’ future investment activities, such as mergers and acquisitions and R&D intensity. Finally, we find that the predictive power of expected volatility shrinks when managers have stronger incentives to manage earnings. Overall, we provide novel evidence that management forecasts of volatility contain private information about future uncertainty that can help forecast volatility.

我们研究了在年度报告中披露的管理层对股票收益波动率（即预期波动率）的预测中的预测信息内容。我们发现预期波动率预测短期和长期股票收益率波动率和收益波动率会随着隐含波动率，历史波动率，公司特征和不确定性的替代度量而增加。我们还发现，预期波动反映了经理人关于其公司未来投资活动的私人信息，例如并购和研发强度。最后，我们发现，如果管理人员有更强的动机来管理收入，则预期波动率的预测能力会下降。总体，