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Michael, Weber. (2016) Cash Flow Duration and the Term Structure of Equity Returns.
In: CESifo Working Paper Series. RePEc:ces:ceswps:_6043.
Full description at Econpapers
cites:
For missing Compustat book equity values, I use the Moody’s book equity information collected by Davis et al. (2000). Low Dur D2 D3 D4 D5 D6 D7 D8 D9 High Dur D1–D10 α F &F 3 0.46 0.34 0.26 0.18 0.17 0.15 0.03 -0.03 -0.08 -0.38 0.84 (0.10) (0.08) (0.07) (0.06) (0.06) (0.06) (0.07) (0.07) (0.11) (0.19) (0.15) α F &F 4 0.60 0.48 0.38 0.31 0.30 0.32 0.20 0.16 0.18 -0.07 0.66 (0.10) (0.07) (0.06) (0.06) (0.06) (0.06) (0.06) (0.06) (0.10) (0.18) (0.15) α F &F 5 0.49 0.35 0.26 0.17 0.17 0.16 0.07 0.07 0.14 0.01 0.48 (0.10) (0.08) (0.07) (0.06) (0.06) (0.07) (0.07) (0.07) (0.10) (0.17) (0.14) Table 4: Mean Excess Returns of 10 Portfolios sorted on Duration (robustness) This table reports monthly mean excess returns with OLS standard errors in parentheses for variations of the parameter values used to calculate duration in Section II.
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