02 maio 2020

Estrutura a termo das expectativas dos lucros e a Covid-19


We analyze firm-level analyst forecasts during the COVID crisis. First, we describe expectations dynamics about future corporate earnings. Downward revisions have been sharp, mostly focused on 2020, 2021 and 2022, but much less drastic than the lower bound estimated by Koijen and Gormsen (2020). Analyst forecasts do not exhibit evidence of over-reaction: Forecasts over 2020 earnings have slowly decreased by 10.2% over the course of March and April 2020 before stabilizing. Long-run forecasts, as well as expected “Long-Term Growth” have reacted much less than short-run forecasts, and feature less disagreement. Second, we ask how much forecast revisions explain market dynamics, an exercise similar to Shiller (1981). Keeping discount rates constant, mean forecast-implied cumulative returns from midFebruary to mid-April should be around -9%, while they were actually -20%. The difference between forecast-implied returns and actual returns implies a rise in the average discount rate of about 1%. This increase is decomposed into three factors: increased risk premium (+1%), increased leverage (+1%) and interest rate reduction (-1%). In other words, analyst forecast revisions explain a big share of the decrease in equity values.


Earnings Expectations in the COVID Crisis∗Augustin Landier† David Thesmar‡-2020.

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