000			01404nam a22001817a 4500
008			190312b xxu||||| |||| 00| 0 eng d
022			_a0304-405X
245			_aCash flow duration and the term structure of equity returns / by Michael Weber _cMichael Weber
260			_aAmsterdam _bElsevier _cJune 2018
300			_aPages 486-503
440			_aJournal of Financial Economics _v128 (3) _x0304-405X
520			_aAbstract 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			_aDividend strips
690			_aShort-sale constraints
690			_aAnomalies
690			_aSentiment
942			_2lcc _cSE
999			_c361345 _d361345