Earnings Expectations during the COVID-19 Crisis

被引：55

作者：

Landier, Augustin ^{[1
]}

Thesmar, David ^{[2
,3
,4
]}

机构：

[1] HEC Paris, Jouy En Josas, France

[2] MIT Sloan, Cambridge, MA 02142 USA

[3] NBER, Cambridge, MA 02138 USA

[4] CEPR, Washington, DC 20009 USA

来源：

REVIEW OF ASSET PRICING STUDIES | 2020年 / 10卷 / 04期

关键词：

OF-INTEREST; ANALYSTS;

D O I：

10.1093/rapstu/raaa016

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze the dynamics of earnings forecasts and discount rates implicit in valuations during the COVID-19 crisis. Forecasts over 2020 earnings have been progressively reduced by 16%. Longer-run forecasts have reacted much less. We estimate an implicit discount rate going from 8.5% in mid-February to 11% at the end of March and reverting to its initial level in mid-May. Over the period, the unlevered asset risk premium increases by 50bp, the leverage effect also increases by 50bp, while the risk free rate decreases by 100bp. Hence, analysts' forecast revisions explain all of the decrease in equity values between January 2020 and mid-May 2020.

引用

页码：598 / 617

页数：20

共 31 条

[1] Letting the "tail wag the dog": The debate over GAAP versus street earnings revisited [J].