Yang, Shuxin; Tamaki, Kenichiro - 2022
measure of equity duration proposed by \citet*[][]{dechow2004}. 3. We show that the “short-duration” factor improves the … performance of factor models. 4. We show that short-duration premium remains positive throughout the sample period (2011 …–2020), and duration strategy is profitable even after controlling for size and value factor. 5. Our results confirm the downward …