When valuing a firm, investors must assess not only its expected future cash flows but also the systematic risk inherent in these cash flows. In this paper, we model the process by which investors may learn about firms' betas from earnings and how this learning process affects the relationship between earnings, announcement returns, and expected future returns. The model's main predictions are: (i) earnings response coefficients vary with macroeconomic conditions and are lower in upswings than downturns; (ii) earnings positively and negatively predict future returns in economic upswings and downturns, respectively, leading to return autocorrelation; and (iii) real earnings management rises in economic downturns and contributes to systematic risk in the economy. These predictions are directly attributable to investors' uncertainty regarding firms' exposures to systematic risk.

在对一家公司进行估值时，投资者不仅必须评估其预期的未来现金流量，还必须评估这些现金流量中固有的系统性风险。在本文中，我们模拟了投资者可以从收益中了解公司贝塔值的过程，以及该学习过程如何影响收益、公告收益和预期未来收益之间的关系。该模型的主要预测是： ( i ) 盈利响应系数随宏观经济条件而变化，上行时低于下行时；( ii ) 收益分别在经济上行和下行中正向和负向预测未来收益，导致收益自相关；和（三) 实际盈余管理在经济低迷时上升，并导致经济中的系统性风险。这些预测直接归因于投资者对公司系统风险敞口的不确定性。