A New Measure of Equity and Cash Flow Duration: The Duration‐Based Explanation of the Value Premium Revisited
利用分析师预测数据重新检验了基于久期的价值溢价解释，发现价值溢价可由股票久期的横截面差异解释，而非现金流久期，且短期股票预期收益低于长期股票，与向上倾斜的股权收益率曲线一致。
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.