The Effect of Risk Management Quality on Volatility around Earnings Announcements

The Volatility around earnings announcements reduce the characteristic of earnings time-series. Improving the risk management quality, reduces the volatility around earnings announcements. Accordingly, in this paper, using the guidelines of the Committee of Sponsoring Organizations of the Treadway Commission (COSO), the impact of risk management quality on volatility around earnings announcements has been addressed. Risk management quality based on the research Gordon et al (2009) is estimated four objectives of ERM . The statistical population include the companies listed in the Tehran Stock Exchange between 2011 and 2016. The sample is based on a systematic method of over 69 companies. The method of research is based on panel data and multiple regression, taking into account the generalized least squares model. Evidence of research suggests that changes in risk management quality reduce the volatility around earnings announcements. In other words, for a 1% increase in the risk management quality, the implied volatility of the profit declaration is reduced by 1%.