Do Analyst Earnings Beta Explain Growth Anomaly?
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...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2010
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| Online Access: | https://ink.library.smu.edu.sg/etd_coll/53 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1052&context=etd_coll |
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| Institution: | Singapore Management University |
| Language: | English |
| Summary: | 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. |
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