Cash flow duration and the term structure of equity returns
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DOI: 10.1016/j.jfineco.2018.03.003
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… read more here.
Keywords: term structure; flow duration; cash flow; duration ... See more keywords