Is there an Equity Duration Premium?

Activity: Talk or presentationScience to science


Equity duration is a measure of discount-rate sensitivity that is driven by both,
stock-specific cash-flow timing and stock-specific discount-rate levels. Established measures of equity duration using market-price information derive their predictive power for returns from using market-implied discount rates. We introduce new measures of pure cash-flow timing which disentangle discount-rate level from cash-flow timing information. Our results indicate an unconditionally flat relationship between timing and average returns. However, it turns out that in recessions (expansion episodes), there is a negative (positive) relation between cash-flow timing and average stock returns.
Period24 Sep 2022
Event title37. Workshop of the Austrian Working Group on Banking and Finance
Event typeWorkshop
LocationKlagenfurt, AustriaShow on map


  • Equity duration, cash flow timing, term structure of equity, cross-section of expected returns