Our speaker will be Rüdiger Weber (Vienna University of Economics and Business & VGSF).

He will give a talk on “Equity Duration, Cash-flow Timing and the Term Structure of Equity” (joint with Dominik Walter).

Abstract: We study the relation between equity duration, cash-flow timing and stock returns. Established measures of equity duration mix up information on the level of discount rates (expected returns) and the timing of cash flows. Regardless of the equity term structure, duration is a monotonically decreasing function of each stock's true market discount rate. Hence, the relation between mean returns and empirical duration measures relying on market-price information is mechanically negative. We therefore introduce new measures of pure cash-flow timing and find an unconditionally flat relation between timing and returns. In line with the qualitative predictions of standard, consumption-based asset pricing it turns out that in recessions (expansion episodes), there is a negative (positive) relation between cash-flow timing and average stock returns.

The talk will take place on May 5, 2022 hybrid in room TC.4.04 (30 people max capacity) at 12.15 p.m. - 1:15 p.m.

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