Parameter Uncertainty, Cashflow Betas, and Earnings Announcement Premia

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.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.identifier.uri	https://hdl.handle.net/1794/27770
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.discipline	Department of Finance
thesis.degree.grantor	University of Oregon
thesis.degree.level	doctoral
thesis.degree.name	Ph.D.

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