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Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2016

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 the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10012456159

The Analytics of Investment, q, and Cash Flow

Abel, Andrew B. - 2015

operating profit of capital, I extend the model to include measurement error and analyze the cash-flow coefficient in … regressions of investment on q and cash flow. In empirical studies, the estimated cash-flow coefficient is generally positive and … derive closed-form expressions for the cash-flow coefficient that are positive and larger for faster growing firms, yet there …

Persistent link: https://www.econbiz.de/10012457120

Predictability of Returns and Cash Flows

Koijen, Ralph S.J. - 2010

We review the literature on return and cash flow growth predictability form the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries

Persistent link: https://www.econbiz.de/10012462008

Cash Flow Multipliers and Optimal Investment Decisions

Kraft, Holger - 2010

By postulating a simple stochastic process for the firm's cash flows in which the drift and the variance of the process depend on the investment policy of the firm, we develop a theoretical model, determine the optimal investment policy and, given this policy, calculate the ratio of the current...

Persistent link: https://www.econbiz.de/10012462843

Risk Price Dynamics

Borovička, Jaroslav - 2009

shock on future cash-flow growth. The elasticities are designed to accommodate nonlinearities in the stochastic evolution …

Persistent link: https://www.econbiz.de/10012463143

The Term Structures of Equity and Interest Rates

Lettau, Martin - 2009

This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates, returns on the aggregate market and the risk and return characteristics of value and growth stocks. Both the term structure of interest rates and returns on value and growth stocks...

Persistent link: https://www.econbiz.de/10012463950

A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows : The Case of Private Equity Funds

Driessen, Joost - 2008

We develop a new GMM-style methodology with good small-sample properties to assess the abnormal performance and risk exposure of a non-traded asset from a cross-section of cash flow data. We apply this method to a sample of 958 mature private equity funds spanning 24 years. Our methodology uses...

Persistent link: https://www.econbiz.de/10012464502

Financial Frictions, Investment and Tobin's q

Lorenzoni, Guido - 2007

We develop a model of investment with financial constraints and use it to investigate the relation between investment and Tobin's q. A firm is financed partly by insiders, who control its assets, and partly by outside investors. When their wealth is scarce, insiders earn a rate of return higher...

Persistent link: https://www.econbiz.de/10012465562

Durability of Output and Expected Stock Returns

Gomes, Joao F. - 2007

The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flows and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we...

Persistent link: https://www.econbiz.de/10012465670

Debt Policy, Corporate Taxes, and Discount Rates

Grinblatt, Mark - 2002

This paper studies the valuation of assets with debt tax shields when debt policy is a general time-dependent function of the asset's unlevered cash flows, value, and history. In a continuous-time setting, it shows that the value of a project's debt tax shield satisfies a partial differential...

Persistent link: https://www.econbiz.de/10012469352