Cash flow duration and the term structure of equity returns / by Michael Weber (Record no. 361345)
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| 000 -LEADER | |
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| fixed length control field | 01404nam a22001817a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 190312b xxu||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER | |
| International Standard Serial Number | 0304-405X |
| 245 ## - TITLE STATEMENT | |
| Title | Cash flow duration and the term structure of equity returns / by Michael Weber |
| Statement of responsibility, etc | Michael Weber |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Amsterdam |
| Name of publisher, distributor, etc | Elsevier |
| Date of publication, distribution, etc | June 2018 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | Pages 486-503 |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Journal of Financial Economics |
| Volume number/sequential designation | 128 (3) |
| International Standard Serial Number | 0304-405X |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | Abstract<br/>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 models can explain only 50% of the return differential, and the difference in returns is three times larger after periods of high investor sentiment. Analysts extrapolate from past earnings growth into the future and predict high returns for high-duration stocks following high-sentiment periods, contrary to ex-post realizations. I use institutional ownership as a proxy for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is only contained within short-sale constrained stocks. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Dividend strips |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Short-sale constraints |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Anomalies |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | Sentiment |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Item type | Periodicals |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Home library | Current library | Shelving location | Date acquired | Total Checkouts | Date last seen | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | College Library | College Library | Periodical Section | 03/12/2019 | 03/12/2019 | 03/12/2019 | Periodicals |