Do Analyst Earnings Beta Explain Growth Anomaly?

• المؤلف الرئيسي: DOAN, Sophie Phuong Thanh
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2010
• الموضوعات: analyst earnings; earnings beta; expected cashflow; growth anomaly; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/etd_coll/53; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1052&context=etd_coll
• المؤسسة: Singapore Management University

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 mea...