A Returns-Based Representation of Earnings Quality
提出一种基于收益的盈余质量表示方法，通过公司特定资产定价回归估计盈余质量因子系数，该系数能捕捉收益对盈余质量的敏感度，且适用于更大样本和更短时间区间。
We examine the properties of a returns-based representation of earnings quality, estimated from firm-specific asset-pricing regressions augmented by an earnings quality mimicking factor. The coefficient on the earnings quality factor (the “e-loading”) captures the sensitivity of the firm's returns to earnings quality in a given year or quarter, analogous to beta as a measure of the sensitivity of returns to market movements. Relative to other proxies for earnings quality, e-loadings can be calculated for larger samples of firms and can be estimated for shorter intervals at any point in time. Along all dimensions examined, we find that e-loadings perform well in capturing notions of earnings quality.