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来源类型Working Paper
规范类型报告
DOI10.3386/w27160
来源IDWorking Paper 27160
Earnings Expectations in the COVID Crisis
Augustin Landier; David Thesmar
发表日期2020-05-18
出版年2020
语种英语
摘要We analyze firm-level analyst forecasts during the COVID crisis. First, we describe expectations dynamics about future corporate earnings. Downward revisions have been sharp, mostly focused on 2020, 2021 and 2022, but much less drastic than the lower bound estimated by Gormsen and Koijen (2020). Analyst forecasts do not exhibit evidence of over-reaction: As of mid-May, forecasts over 2020 earnings have progressively been reduced by 16%. Longer-run forecasts, as well as expected “Long-Term Growth” have reacted much less than short-run forecasts, and feature less disagreement. Second, we ask how much discount rate changes explain market dynamics, in an exercise similar to Shiller (1981). Given forecast revisions and price movements, we estimate an implicit discount rate going from 10% in mid-February, to 13% at the end of March, back down to their initial level in mid-May. We then decompose discount rate changes into three factors: changes in unlevered asset risk premium (0%), increased leverage (+1%) and interest rate reduction (-1%). Overall, analyst forecast revisions explain all of the decrease in equity values between January 2020 and mid May 2020, but they do not explain shorter term movements.
主题Financial Economics ; Corporate Finance ; Behavioral Finance ; COVID-19
URLhttps://www.nber.org/papers/w27160
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/584833
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Augustin Landier,David Thesmar. Earnings Expectations in the COVID Crisis. 2020.
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