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.
Year Dissertation/Thesis Completed
analyst earnings, earnings beta, expected cashflow, growth anomaly
Finance and Financial Management | Portfolio and Security Analysis
Master of Science in Finance
Mitchell Craig Warachka
Doan, Phuong Thanh Sophie.
Do Analyst Earnings Beta Explain Growth Anomaly?. (2010). Dissertations and Theses Collection (Open Access).
Available at: http://ink.library.smu.edu.sg/etd_coll/53