Cash Flow Timing and the Cross-section of Expected Returns
Type Dissertation Project
Funding Bodies
- Austrian Science Fund
Duration Feb. 1, 2020 - Aug. 25, 2021
- Institute for Financial Research IN (Details)
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Press 'enter' for creating the tagAbstract (English)
Popular measures of stocks' cash-flow duration mix up information on discount rates and the timing of cash flows leading to a mechanical relation between duration and expected returns. This is problematic when studying the relation between cash-flow timing and average returns. This is because the employed measures are monotonic
functions of market prices and therefore of each stocks' true market discount rate - the actual object of interest. Using measures of cash-
ow timing, we find no unconditional relation between timing and expected returns. In recessions however, long timing stocks have on average lower returns.