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Title:A new measure of equity duration: The duration-based explanation of the value premium revisited PDF Logo
Authors:Schröder, David
Esterer, Florian
Issue Date:2012
Series/Report no.:Beiträge zur Jahrestagung des Vereins für Socialpolitik 2012: Neue Wege und Herausforderungen für den Arbeitsmarkt des 21. Jahrhunderts - Session: Stockmarket Performance F16-V1
Abstract:This paper uses analysts' forecasts to estimate a share's equity duration, a measure of a company's average cash-flow maturity. We find that short duration equity is associated with high expected and realized returns, which cannot be attributed to the shares' systematic risk exposure as implied by the market beta. Instead, we show that equity duration is a priced risk factor with similar properties as the Fama-French value factor B/M ratio. Our analysis suggests that the value premium might be a compensation for the value firms' higher exposure to cash-flow risk.
JEL:G12
M41
G15
Document Type:Conference Paper
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2012: Neue Wege und Herausforderungen für den Arbeitsmarkt des 21. Jh.

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