【报告主题】Expected Earnings Smoothness
【主讲嘉宾】申睿，香港中文大学（深圳）
【报告时间】2025年10月31日 14:00
【报告地点】会计学院108室
【内容提要】
We introduce a novel measure of Expected Earnings Smoothness (EES) derived from analyst forecasts. Compared to the traditional backward-looking smoothness measure, EES demonstrates superior predictive power for future earnings volatility. Firms with higher expected earnings volatility—after controlling for past cash flow volatility—generate economically significant excess returns of 59 basis points per month.Cross-sectional tests support a risk-based explanation: return predictability is stronger among firms with higher estimation and information risk, consistent with investors demanding compensation for bearing such risks. Our findings highlight the importance of expected (rather than realized) earnings smoothness in asset pricing and risk assessment.