报告题目：Expected Earnings Smoothness
报告时间：2025年8月27日（星期三）10:00-11:00
报告地点：科教楼B座1005
报告人：申睿教授
工作单位：The Chinese University of Hong Kong, Shenzhen
举办单位：经济学院
报告简介：
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.
我们提出了一种基于分析师预测的全新预期盈余平滑度（Expected Earnings Smoothness, EES）衡量方法。与传统的事后型平滑度指标相比，EES在预测未来盈余波动性方面展现出更强的能力。在控制了过去现金流波动性的情况下，预期盈余波动性更高的公司能够获得每月59个基点的显著超额收益。横截面检验结果支持基于风险的解释：在估计风险和信息风险更高的公司中，收益的可预测性更强，这与投资者要求为承担此类风险获得补偿的逻辑一致。我们的研究结果强调了在资产定价与风险评估中，应关注预期的（而非已实现的）盈余平滑度。
报告人简介：
Rui Shen is a Professor at The Chinese University of Hong Kong, Shenzhen, where he serves as Associate Dean (Research) of the School of Management and Economics, Director of the PhD Program, and Distinguished Professor of Shenzhen Finance Institute. Before joining CUHK, Shenzhen, Dr. Shen worked as an Assistant Professor at Nanyang Technological University in Singapore and at the Rotterdam School of Management, Erasmus University. He has led a General Program project funded by the National Natural Science Foundation of China (NSFC). His research primarily focuses on heterogeneous interpretations of accounting information, capital markets, and corporate decision-making. His work has been published in top-tier international journals such as 《经济研究》, Review of Financial Studies, The Accounting Review, Journal of Accounting Research, Strategic Management Journal, Journal of Financial and Quantitative Analysis, and Review of Accounting Studies.
申睿，香港中文大学（深圳）教授，经管学院助理院长（科研），博士项目主任，深高金讲座教授。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。他曾主持国家自然科学基金面上项目，其研究领域主要是对于会计信息的异质理解、资本市场以及公司决策。其研究成果发表于《经济研究》、Review of Financial Studies、The Accounting Review、Journal of Accounting Research、Strategic Management Journal、Journal of Financial and Quantitative Analysis、Review of Accounting Studies等国际顶级期刊。
