The short duration premium *

• 成果类型: Article
• 署名作者: Goncalves, Andrei S.
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.04.019
• 发表日期: 2021
• 页码: 919-945
• 关键词: Equity duration; Term structure of risk premia; reinvestment risk; Intertemporal CAPM; Value and profitability premia

摘要

Stocks of firms with cash flows concentrated in the short term (i.e., short duration stocks) pay a large premium over long duration stocks. I empirically demonstrate that this premium (i) is long-lived and strong even among large firms, (ii) subsumes the value and profitability premia, and (iii) exposes investors to variation in expected returns, especially in times when the premium is high. These facts are consistent with an intertemporal model in which the marginal (long-term) investor dislikes expected return declines as they lead to lower expected wealth growth. The model also captures the positive relation between risk premia and bond duration. (c) 2021 Elsevier B.V. All rights reserved.