Dissertation/Thesis Abstract

Do analyst earnings beta explain growth anomaly?
by Doan, Phuong Thanh Sophie, M.Sc., Singapore Management University (Singapore), 2011, 43; 1494091
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.

Indexing (document details)
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: 9781124679884
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