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，该系数能捕捉公司收益对盈余质量的敏感度，且相比其他代理指标适用于更大样本和更短区间。
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.