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Do analyst earnings beta explain growth anomaly

Posted on:2012-07-01Degree:M.ScType:Thesis
University:Singapore Management University (Singapore)Candidate:Doan, Phuong Thanh SophieFull Text:PDF
GTID:2459390008494275Subject:Economics
Abstract/Summary:
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.
Keywords/Search Tags:Earnings beta, Cashflow risk, Growth
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