Can Cash Flow Expectations Explain Momentum and Reversal?

Abstract

Asset Returns, Risks, and Cash Flow Expectations Zhongjin Lu This dissertation delves into the relation between asset returns, risks, and cash ow expectations. The rst chapter uses the model-implied patterns of cash ow expectations to dierentiate among the three most prominent behavioral theories explaining stock return momentum and reversal. Using analyst earnings forecasts as a proxy for cash ow expecta