Als Vortragenden dürfen wir Rüdiger Weber (Vienna University of Economics and Business & VGSF) begrüßen.

Er wird sein Paper „Equity Duration, Cash-flow Timing and the Term Structure of Equity” (Co-AutorDominik Walter) vorstellen.

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.

Das Brown Bag Seminar findet am 5. Mai 2022 hybrid im Raum TC.4.04 (max. 30 Personen) von 12:15-13:15 Uhr statt.

Alternativ können Sie dem Talk via MS Teams folgen. Um dem Stream beizutreten, folgen Sie bitte diesem Link.