Publication Type

Master Thesis

Abstract

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

2010

Keywords

analyst earnings, earnings beta, expected cashflow, growth anomaly

Discipline

Finance and Financial Management | Portfolio and Security Analysis

Degree Awarded

Master of Science in Finance

Supervisor(s)

Mitchell Craig Warachka

School

Lee Kong Chian School of Business