Abstract

A company’s operational uncertainty resulting from economic activity could be measured by its contingent liabilities. When the contingent liabilities are forecasted by the analysts, the dispersed analysts’ forecasts might constitute another source of uncertainty. In this study, the Uncertainty (contingent liabilities) of Uncertainty (dispersed analysts’ forecasts) is measured by the UOU indicator. We find that this indicator not only measures the negative correlation between the firm’s UOU and its stock returns, but also serves as a good risk and pricing indicator for the excessive stock returns. Robust tests based on industry, market conditions, and macroeconomic environments indicate our findings are still valid. We, therefore, believe our empirical findings provide a good reference for the investment decision-making process.

摘要

一家公司因经济活动而导致的经营不确定性可以通过其或有负债来衡量。当分析师预测或有负债时，分散的分析师预测可能构成另一个不确定性来源。在本研究中，不确定性（分散的分析师预测）的不确定性（或有负债）是通过 UOU 指标来衡量的。我们发现，该指标不仅衡量了公司 UOU 与其股票收益之间的负相关，而且可以作为股票收益过高的风险和定价指标。基于行业、市场条件和宏观经济环境的稳健测试表明我们的发现仍然有效。因此，我们相信我们的实证研究结果为投资决策过程提供了很好的参考。