Cashflow Risk, Systematic Earnings Revisions, and the Cross-Section of Stock Returns
The returns of stocks are partially driven by changes in their expected cashflow. Using revisions in analyst earnings forecasts, we construct an analyst earnings beta that measures the covariance between the cashflow innovations of an asset and those of the market. A higher analyst earnings beta imp...
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Main Authors: | DA, Zhi, WARACHKA, Mitchell Craig |
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Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2009
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Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2967 https://doi.org/10.1016/j.jfineco.2008.12.008 |
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Institution: | Singapore Management University |
Language: | English |
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