Earnings Expectations during the COVID-19 Crisis

IF 2.2 Q2 BUSINESS, FINANCE Review of Asset Pricing Studies Pub Date : 2020-09-24 DOI:10.1093/rapstu/raaa016

Augustin Landier, D. Thesmar

引用次数: 48

Abstract

Abstract 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 10% in mid-February to 13% at the end of March and reverting to its initial level in mid-May. Over this period, the unlevered asset risk premium is unchanged, as the risk-free rate drop is compensated by the effect of increased leverage. Hence, analysts’ forecast revisions explain all of the decrease in equity values between January 2020 and mid-May 2020.

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COVID-19危机期间的盈利预期

摘要我们分析了新冠肺炎危机期间估值中隐含的盈利预测和贴现率的动态。对2020年收益的预测已逐步下调16%。长期预测的反应要小得多。我们估计隐含贴现率将从2月中旬的10%上升到3月底的13%，并在5月中旬恢复到初始水平。在此期间，无杠杆资产风险溢价保持不变，因为无风险利率的下降被杠杆增加的影响所补偿。因此，分析师的预测修正解释了2020年1月至2020年5月中旬期间股票价值的所有下降。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.

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