BIROn - Birkbeck Institutional Research Online

    A new measure of equity and cash flow duration: the duration-based explanation of the value premium revisited

    Schröder, David and Esterer, F. (2016) A new measure of equity and cash flow duration: the duration-based explanation of the value premium revisited. Journal of Money, Credit and Banking 48 (5), pp. 857-900. ISSN 0022-2879.

    [img]
    Preview
    Text
    MS14-073.pdf - Author's Accepted Manuscript

    Download (206kB) | Preview

    Abstract

    This paper re-examines the duration-based explanation of the value premium using novel estimates of the firms' equity and cash flow durations based on analyst forecasts. We show that the value premium can be explained by cross-sectional differences in the shares' equity durations, but not by their cash flow durations. Different from the duration-based explanation of the value premium that explains the value premium with cross-sectional differences in the firm's cash flow timing, we find that short-horizon stocks have lower (expected) returns than long-horizon stocks. This result is consistent with an upward-sloping equity yield curve.

    Metadata

    Item Type: Article
    Additional Information: "This is the peer reviewed version of the following article: [FULL CITE], which has been published in final form at [Link to final article using the DOI]. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving."
    Keyword(s) / Subject(s): equity duration, cash flow duration, value premium, analyst forecasts, B/M ratio, equity yields
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Users 5065 not found.
    Date Deposited: 25 Jul 2016 07:03
    Last Modified: 27 Jul 2019 19:14
    URI: http://eprints.bbk.ac.uk/id/eprint/13603

    Statistics

    Downloads
    Activity Overview
    81Downloads
    109Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item