This paper uses analysts' forecasts to estimate a share's equity duration, a measure of a company's average cash …-flow maturity. We find that short duration equity is associated with high expected and realized returns, which cannot be attributed … to the shares' systematic risk exposure as implied by the market beta. Instead, we show that equity duration is a priced …

market index, in this paper we revisit the duration dependence in bull and bear markets. We find that for both bull and bear … markets the duration dependence is a nonlinear function of the state age. Our results suggest that the duration dependence in … bear markets is strictly positive. For 93% of bull markets the duration dependence is also positive. Only about 7% of the …