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Return
Duration-Driven Returns
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PRE
AI
DOI：10.1111/jofi.13216.png)
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Abstract
En 中文
We propose a duration-based explanation for the premia on major equity factors, including value, profitability, investment, low-risk, and payout factors. These factors invest in firms that earn most of their cash flows in the near future and could therefore be driven by a premium on near-future cash flows. We test this hypothesis using a novel data set of single-stock dividend futures, which are claims on dividends of individual firms. Consistent with our hypothesis, the expected Capital Asset Pricing Model alpha on individual cash flows decreases in maturity within a firm, and the alpha is not related to the above characteristics when controlling for maturity.
Keywords:
TERM STRUCTURE
CROSS-SECTION
EXPLANATION
PERSISTENCE
ANOMALIES
BETA
Journal
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9.5
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4.0K
Citations:
5.0W
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