Duration-Driven Returns

• 成果类型: Article; Early Access
• 署名作者: Gormsen, Niels Joachim; Lazarus, Eben
• 署名单位: University of Chicago; Massachusetts Institute of Technology (MIT); University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13216
• 发表日期: 2023
• 关键词: term structure; cross-section; explanation; persistence; anomalies; beta

摘要

We propose a duration-based explanation for the premia on major equity factors, including value, profitability, investment, low-risk, and payout factors. These factors invest in firms that earn most of their cash flows in the near future and could therefore be driven by a premium on near-future cash flows. We test this hypothesis using a novel data set of single-stock dividend futures, which are claims on dividends of individual firms. Consistent with our hypothesis, the expected Capital Asset Pricing Model alpha on individual cash flows decreases in maturity within a firm, and the alpha is not related to the above characteristics when controlling for maturity.