Narrow search
Showing 1 - 10 of 2,477
Cover Image
Consumption Strikes Back? Measuring Long-Run Risk
Hansen, Lars Peter - 2017
We characterize and measure a long-term risk-return trade-off for the valuation of cash flows exposed to fluctuations in macroeconomic growth. This trade-off features risk prices of cash flows that are realized far into the future but continue to be reflected in asset values. We apply this...
Persistent link: https://www.econbiz.de/10012962927
Cover Image
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/10012981605
Cover Image
Time Variation in Cash Flows and Discount Rates
Cenesizoglu, Tolga - 2019
The relative contributions of cash flow and discount rate news to the conditional variance of market returns exhibit significant variation over time. We identify lagged changes in PPI inflation as the main macroeconomic determinant of this time variation. Cash flow betas of value stocks increase...
Persistent link: https://www.econbiz.de/10012902077
Cover Image
Net Cash Flow Yield and the Cross-Section of Stock Returns
Dai, Yiqing - 2019
Fama and French (2006) decompose the valuation equation into the book to market ratio (BM), profitability and investment to estimate expected returns. In this paper, I attempt to integrate information from the valuation equation into one variable, net cash flow yield (NCFY), to capture expected...
Persistent link: https://www.econbiz.de/10012903101
Cover Image
The Marginal Profit-to-Q Ratio : Reassessing the Cash-Flow Channel
Cooper, Ilan; Maio, Paulo F.; Yang, Chunyu - 2021
ratio (mq) are driven by variations in the expected growth of marginal profits (cash-flow channel), expected investment …
Persistent link: https://www.econbiz.de/10013234295
Cover Image
The Predictive Power of Comprehensive Income and its Individual Components Under IFRS
Pronobis, Paul - 2012
This study examines the predictive power of comprehensive income and its individual components within the homogenous institutional setting of German IFRS firms. The results could be relevant for the standard setters IASB and FASB and their joint project “Financial Statement Presentation”. We...
Persistent link: https://www.econbiz.de/10013116252
Cover Image
Estimating Private Equity Market Beta Using Cash Flows : A Cross-Sectional Regression of Fund-Market Paired Internal Rates of Return
Jiang, Yindeng - 2014
We develop a new method to estimate private equity funds' market beta from cash flows. Our methodology extends the widely known public market equivalent calculation to a cross-sectional regression. By simply regressing funds' internal rates of return on their paired market internal rates of...
Persistent link: https://www.econbiz.de/10013054634
Cover Image
Term Structure of Equity Return Volatility
Li, Wentao - 2022
The term structure of equity return volatility fluctuates across time. It affects the term structure of equity returns through the volatility feedback effect and explains the cyclicality of equity return term structure. By analysing the dividend strip futures, this paper finds that volatility...
Persistent link: https://www.econbiz.de/10014238985
Cover Image
A new measure of equity duration : the duration-based explanation of the value premium revisited
Schröder, David; Esterer, Florian - 2012 - This version: February 29, 2012
This paper uses analysts' forecasts to estimate a share's equity duration, a measure of a company's average cash-flow … might be a compensation for the value firms' higher exposure to cash-flow risk. -- equity duration ; value premium … ; analysts' forecasts ; B/M ratio ; cashflow risk ; discount rate risk ; implied cost of capital …
Persistent link: https://www.econbiz.de/10009671858
Cover Image
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/10011521939