کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
959899 929383 2009 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Cashflow risk, systematic earnings revisions, and the cross-section of stock returns
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Cashflow risk, systematic earnings revisions, and the cross-section of stock returns
چکیده انگلیسی

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 implies greater sensitivity to marketwide revisions in expected cashflow, and therefore higher systematic risk. Our analyst earnings beta captures exposure to macroeconomic fluctuations and has a positive risk premium that provides a partial explanation for the value premium, size premium, and long-term return reversals. From 1984 to 2005, 55.1% of the return variation across book-to-market, size, and long-term return reversal portfolios is captured by their analyst earnings betas.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 94, Issue 3, December 2009, Pages 448–468
نویسندگان
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