Do analyst earnings beta explain growth anomaly?

详细信息   

• 作者：Doan ; Phuong Thanh Sophie.
• 学历：Master
• 年：2011
• 导师：Warachka,Mitchell Craig,eadvisor
• 毕业院校：Singapore Management University
• Department：Lee Kong Chian School of Business.
• ISBN：9781124679884
• CBH：1494091
• Country：Singapore
• 语种：English
• FileSize：365104
• Pages：44

文摘

Using a measure of cashflow risk derived from analyst forecasts,I find that cashflow risk offers a partial explanation for the value-growth anomaly. In particular,the lowest asset growth portfolio has a higher earnings beta than the highest asset growth portfolio. Approximately cashflow risk measured by earnings beta carries a significant positive risk premium of 1.24% with a t-value of 3.51.