Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/145078
Authors: 
Weber, Michael
Year of Publication: 
2016
Series/Report no.: 
CESifo Working Paper 6043
Abstract: 
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor models can explain only 50% of the return differential, and the difference in returns is three times larger after periods of high investor sentiment. I use institutional ownership as a proxy for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is only contained within short-sale constrained stocks.
Subjects: 
dividend strips
short-sale constraints
anomalies
sentiment
JEL: 
E43
G12
G14
Document Type: 
Working Paper

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