【讲座时间】2025年10月31日 14:00
【讲座地点】会计学院108室
【讲座主题】Expected Earnings Smoothness
【嘉宾介绍】申睿，香港中文大学（深圳）
香港中文大学（深圳）经管学院教授，助理院长（科研），博士项目主任。任职于香港中文大学（深圳）前，申睿博士曾是新加坡南洋理工大学的助理教授，还曾是伊拉斯姆斯大学鹿特丹管理学院的助理教授。主要研究方向包括公司金融、会计信息披露、机器学习以及大语言模型等新兴工具在工商管理学科研究中的应用。在国际顶尖期刊如RFS, JAR, TAR, SMJ, OS, JET, RAST, JFQA；国内顶尖期刊《经济研究》等发表论文十余篇。
【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.
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