Do Analyst Earnings Beta Explain Growth Anomaly?

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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Main Author: DOAN, Sophie Phuong Thanh
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
analyst earnings
earnings beta
expected cashflow
growth anomaly
Finance and Financial Management
Portfolio and Security Analysis
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
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spelling sg-smu-ink.etd_coll-10522015-09-14T02:36:09Z Do Analyst Earnings Beta Explain Growth Anomaly? DOAN, Sophie Phuong Thanh 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. 2010-01-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/etd_coll/53 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1052&context=etd_coll http://creativecommons.org/licenses/by-nc-nd/4.0/ Dissertations and Theses Collection (Open Access) eng Institutional Knowledge at Singapore Management University analyst earnings earnings beta expected cashflow growth anomaly Finance and Financial Management Portfolio and Security Analysis
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic analyst earnings
earnings beta
expected cashflow
growth anomaly
Finance and Financial Management
Portfolio and Security Analysis
spellingShingle analyst earnings
earnings beta
expected cashflow
growth anomaly
Finance and Financial Management
Portfolio and Security Analysis
DOAN, Sophie Phuong Thanh
Do Analyst Earnings Beta Explain Growth Anomaly?
description 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.
format text
author DOAN, Sophie Phuong Thanh
author_facet DOAN, Sophie Phuong Thanh
author_sort DOAN, Sophie Phuong Thanh
title Do Analyst Earnings Beta Explain Growth Anomaly?
title_short Do Analyst Earnings Beta Explain Growth Anomaly?
title_full Do Analyst Earnings Beta Explain Growth Anomaly?
title_fullStr Do Analyst Earnings Beta Explain Growth Anomaly?
title_full_unstemmed Do Analyst Earnings Beta Explain Growth Anomaly?
title_sort do analyst earnings beta explain growth anomaly?
publisher Institutional Knowledge at Singapore Management University
publishDate 2010
url https://ink.library.smu.edu.sg/etd_coll/53
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1052&context=etd_coll
_version_ 1712300832344506368

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