Is there an Equity Duration Premium?

Description

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.

Period	24 Sep 2022
Event title	37. Workshop of the Austrian Working Group on Banking and Finance
Event type	Workshop
Location	Klagenfurt, AustriaShow on map