dc.contributor.advisor |
Gutierrez, Roberto |
|
dc.contributor.author |
Pfiffer, Cameron |
|
dc.date.accessioned |
2022-10-26T15:31:53Z |
|
dc.date.available |
2022-10-26T15:31:53Z |
|
dc.date.issued |
2022-10-26 |
|
dc.identifier.uri |
https://scholarsbank.uoregon.edu/xmlui/handle/1794/27770 |
|
dc.description.abstract |
I apply Bayesian methods to estimate parameters describing the relationship between firm earnings and unobserved common earnings shocks. I estimate a firm’s Bayesian cash-flow beta, which measures the comovement between firm earnings and a latent aggregate earnings factor, along with estimating the uncertainty about the firm’s cash-flow beta. Firms with high parameter uncertainty have higher expected stock returns and lower stock price reactions to earnings, consistent with investors’ rational learning in the presence of parameter uncertainty. A novel measure summarizes the capacity of a firm’s earnings news to convey information about the macroeconomic state and reveals that earnings responses and announcement risk premia increase with a firm’s informativeness. The most informative firms tend to announce earlier in earnings seasons. |
en_US |
dc.language.iso |
en_US |
|
dc.publisher |
University of Oregon |
|
dc.rights |
All Rights Reserved. |
|
dc.title |
Parameter Uncertainty, Cashflow Betas, and Earnings Announcement Premia |
|
dc.type |
Electronic Thesis or Dissertation |
|
thesis.degree.name |
Ph.D. |
|
thesis.degree.level |
doctoral |
|
thesis.degree.discipline |
Department of Finance |
|
thesis.degree.grantor |
University of Oregon |
|