Cashflow risk, systematic earnings revisions, and the cross-section of stock returns

• 成果类型: Article
• 署名作者: Da, Zhi; Warachka, Mitchell Craig
• 署名单位: Singapore Management University; University of Notre Dame
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.12.008
• 发表日期: 2009
• 页码: 448-468
• 关键词: Cashflow risk; Analyst forecast revisions

摘要

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 market wide 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. (C) 2009 Elsevier B.V. All rights reserved.