Cashflow Risk, Earnings Revisions, and the Cross-Section of Stock Returns

摘要：

The returns of stocks are driven by changes in their expected cashflow. Using revisions in analyst earnings forecasts over a range of future maturities, we construct an analyst earnings beta that measures the covariance between the cashflow innovations of an asset with those of the market. A higher analyst earnings beta implies greater sensitivity to market-wide revisions in expected cashflows, and therefore higher systematic risk. Empirically, value stocks and small stocks have larger analyst earnings betas than growth stocks and large stocks respectively. Consequently, the value and size premiums are consistent with the cashflow risk arising from revisions in analyst earnings forecasts. During the 1984 to 2005 sample period, 57.2％ of the variation in book-to-market and size portfolio returns is attributable to analyst earnings betas.

作者: Zhi Da Mitch Warachka

作者单位: University of Notre Dame,239 Mendoza College of Business,Notre Dame,IN.,46556,USA Singapore Management University,L.K.C.School of Business,50 Stamford Road,178899,Singapore

会议类型: 国际会议

会议名称: 2008年中国金融国际年会

会议地点: 大连

会议语种:英文

页码: 1-39

在线出版日期: 2008-07-02（万方平台首次上网日期，不代表论文的发表时间）