Publication Type
Master Thesis
Version
publishedVersion
Publication Date
2010
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.
Keywords
analyst earnings, earnings beta, expected cashflow, growth anomaly
Degree Awarded
MSc in Finance
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Supervisor(s)
WARACHKA, Mitchell Craig
Publisher
Singapore Management University
City or Country
Singapore
Citation
DOAN, Sophie Phuong Thanh.
Do Analyst Earnings Beta Explain Growth Anomaly?. (2010).
Available at: https://ink.library.smu.edu.sg/etd_coll/53
Copyright Owner and License
Author
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.