{"title":"COVID-19危机期间的盈利预期","authors":"Augustin Landier, D. Thesmar","doi":"10.1093/rapstu/raaa016","DOIUrl":null,"url":null,"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.","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":" ","pages":""},"PeriodicalIF":2.2000,"publicationDate":"2020-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/rapstu/raaa016","citationCount":"48","resultStr":"{\"title\":\"Earnings Expectations during the COVID-19 Crisis\",\"authors\":\"Augustin Landier, D. Thesmar\",\"doi\":\"10.1093/rapstu/raaa016\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":21144,\"journal\":{\"name\":\"Review of Asset Pricing Studies\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":2.2000,\"publicationDate\":\"2020-09-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1093/rapstu/raaa016\",\"citationCount\":\"48\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Review of Asset Pricing Studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1093/rapstu/raaa016\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Asset Pricing Studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1093/rapstu/raaa016","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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.
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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