Schröder, David; Esterer, Florian - 2012 - This version: February 29, 2012
to the shares' systematic risk exposure as implied by the market beta. Instead, we show that equity duration is a priced …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 …