Implied Equity Duration: A New Measure of Equity Risk

By Patricia M. Dechow, Richard G. Sloan, Mark T. Soliman. 2004

256 citations recorded by the source corpus.

Subfields: Accounting, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/3e0930c98d612f1a4c6b382a6834c0c9e08cd43e

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Citations in the corpus

Who Are the Value and Growth Investors (2017, unknown): “It is for instance well known that value stocks have shorter durations than growth stocks (Cornell 1999, Dechow, Sloan, and Soliman 2004).”
Value Versus Growth: Time-Varying Expected Stock Returns (2011, background): “This prediction is counterfactual: Dechow, Sloan, and Soliman (2004) document that long-duration stocks tend to be growth stocks, and that long-duration stocks have historically lower average returns.”
Why is Long-Horizon Equity Less Risky? A Duration-Based Explanation of the Value Premium (2007, background): “Dechow, Sloan, and Soliman (2004) measure cash flow duration of value and growth portfolios; they find that empirically, growth stocks have higher duration than value stocks and that this contributes to their higher betas.”
Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns (2005, unknown): “More generally, the systematic risks of individual stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.”
Digesting Anomalies: An Investment Approach (2015, background): “Per Dechow, Sloan, and Soliman (2004), we calculate equity duration as: Dur = ∑T t=1 t ×CDt /(1+r)t ME + ( T + 1+r r ) P −∑Tt=1 CDt /(1+r)t ME , (A3) in which CDt is the net cash distribution in year t , ME is market equity, T is the length of forecasting period, and r is the cost of equity.”
Coronavirus: Impact on Stock Prices and Growth Expectations (2020, unknown): “As such, shocks to near-future dividends appear risky in the eyes of investors, a fact that may help explain the downward-sloping equity term structure and the high returns to firms that produce near-future dividends (Dechow et al., 2004; Gormsen and Lazarus, 2019).”
Media Makes Momentum (2014, methodology): “To address these findings, we imitate their Fama/MacBeth regression-based framework (see also Fama and French (2008)).”
Information Uncertainty and Expected Returns (2005, methodology): “An attractive feature of the Dechow et al. (2004) procedure is that it relies on only a few financial variables, and no analyst-based data.”
Cash Flow Duration and the Term Structure of Equity Returns (2018, unknown): “Dur is the implied cash flow duration measure of Dechow et al. (2004).9 It resembles the traditional Macaulay duration for bonds and hence reflects the weighted average time to maturity of cashflows.”
Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital (2013, methodology): “Growth firms also feature longer cash flow duration than value firms (for example, Dechow, Sloan, and Soliman (2004), Da (2006) and Santos and Veronesi(2009)), consistent with the interpretation that their assets consist mainly of options rather than installed physical capital.”
Investor Information, Long-Run Risk, and the Term Structure of Equity (2015, unknown): “To model utility, we use the more flexible version of the power utility model developed by Epstein and Zin (1989, 1991) and Weil (1989), also employed by other researchers who study the importance of long-run risks in cash-flows (Bansal and Yaron 2004; Hansen, Heaton, and Li 2008; Malloy, Moskowitz,”