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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.
Advisor: | Warachka, Mitchell Craig |
Commitee: | |
School: | Singapore Management University (Singapore) |
Department: | Lee Kong Chian School of Business |
School Location: | Republic of Singapore |
Source: | MAI 49/06M, Masters Abstracts International |
Source Type: | DISSERTATION |
Subjects: | Commerce-Business |
Keywords: | Analyst earnings, Earnings beta, Expected cashflow, Growth anomaly |
Publication Number: | 1494091 |
ISBN: | 978-1-124-67988-4 |