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- W3125932322 abstract "This article reexamines the duration‐based explanation of the value premium using novel estimates of the firms' equity and cash flow durations based on analyst forecasts. We show that the value premium can be explained by cross‐sectional differences in the shares' equity durations, but not by their cash flow durations. Different from the duration‐based explanation of the value premium that explains the value premium with cross‐sectional differences in the firm's cash flow timing, we find that short‐horizon stocks have lower (expected) returns than long‐horizon stocks. This result is consistent with an upward‐sloping equity yield curve." @default.
- W3125932322 created "2021-02-01" @default.
- W3125932322 creator A5058432419 @default.
- W3125932322 creator A5086613647 @default.
- W3125932322 date "2016-07-22" @default.
- W3125932322 modified "2023-10-16" @default.
- W3125932322 title "A New Measure of Equity and Cash Flow Duration: The Duration‐Based Explanation of the Value Premium Revisited" @default.
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- W3125932322 doi "https://doi.org/10.1111/jmcb.12320" @default.
- W3125932322 hasPublicationYear "2016" @default.
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