Universität zu Köln

Zährl, Nathalie (2026). Essays on Information Processing in Empirical Finance. PhD thesis, Universität zu Köln.

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Abstract

This thesis consists of three studies that examine how the construction of commonly used financial market measures affects valuation, expected return estimation, and portfolio performance. The first two studies focus on analyst earnings forecasts, while the third addresses sustainability measurement. The first study examines the use of earnings per share (EPS) and firm-level earnings forecasts in equity valuation and implied cost of capital estimation. Discrepancies between these two types of forecasts reflect anticipated changes in shares outstanding, indicating information about potential share repurchases and issuances. These discrepancies impact expected earnings growth, forward price-earnings ratios, and implied cost of capital estimates, with more pronounced effects when analysts anticipate substantial changes in shares outstanding. The second study investigates the implications of using Street rather than GAAP earnings forecasts in implied cost of capital models. The results reveal systematic differences in forecast levels and growth rates that materially affect the resulting cost of capital estimates. The third study examines corporate sustainability measurement using indicators related to the Sustainable Finance Disclosure Regulation (SFDR). The study applies alternative ranking and aggregation methods and compares the resulting sustainability metrics with conventional ESG scores. The results demonstrate that the construction of these metrics significantly impacts firms' sustainability assessments and portfolio performance. Specifically, performance-based measures generate stronger return and risk-adjusted performance signals than conventional ranking approaches.

Item Type:	Thesis (PhD thesis)
Creators:	Creators Email ORCID ORCID Put Code Zährl, Nathalie nathalie.zaehrl@gmail.com UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-810589
Date:	2026
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Faculty of Management, Economics and Social Sciences > Business Administration > Finance > Professorship for Business Administration and Corporate Finance
Subjects:	Management and auxiliary services
Uncontrolled Keywords:	Keywords Language Earnings Forecasts English Implied Cost of Capital English Information Processing English Valuation English Sustainable Finance English
Date of oral exam:	15 July 2026
Referee:	Name Academic Title Hess, Dieter Prof. Dr. Bauckloh, Tobias Jun. Prof. Dr.
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/81058