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Systematic mispricing in European equity prices?

Berneburg, Marian (contributor) - 2007

cashflow ; excess volatility ; variance bound test ; rational expectations …

Persistent link: https://www.econbiz.de/10003482498

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

Common risk factors of infrastructure firms

Ben Ammar, Semir; Eling, Martin - 2013 - This version: 05/07/2013

, size, value, momentum, cashflow volatility, leverage, investment growth, term risk, and default risk. We empirically test …

Persistent link: https://www.econbiz.de/10010410032

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

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

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

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

Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2018

Persistent link: https://www.econbiz.de/10012936819

Cash-Flow or Return Predictability at Long Horizons? The Case of Earnings Yield

Maio, Paulo F. - 2020

and cash-flow predictability from a restricted VAR can be quite misleading …

Persistent link: https://www.econbiz.de/10012857172

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

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