The Market Effects of Breaking a String of Meeting or Beating Analysts’ Expectations: Downward Revision of Future Cash Flows or Increase in Cost of Equity Capital?
研究公司打破连续达到或超过分析师预期的记录后，市场负面反应的原因，发现这既导致未来现金流预期下降，也导致权益资本成本上升，且资本成本上升幅度在110至150个基点之间。
Abstract: This paper parses the negative market reaction to breaking a string of consecutively meeting or beating analysts’ expectations (hereafter MBE). Using a set of firms that break a string of MBE relative to a control set of firms that do not, I show that, on average, breaking a string of MBE is associated with both decreases in expectations regarding future cash flows and increases in the cost of equity capital. Depending on the length of the string before a break, increases in the cost of equity capital are between 110 and 150 basis points over a three‐month period across the break. Overall, my evidence suggests that breaking a string of MBE increases the perceived uncertainty of firms’ future cash flows and investors’ required rate of return.