Date of Award

Spring 2022




Jan Kregel, Ph.D.


This paper studies the equity term structure and its relevance in pricing Euro- pean stocks, using a duration concept. In explaining the cross-sectional variation

in the duration premium, we made use of cash flow duration in understanding the value premium. Empirically, we measure cash flow duration using balance sheet data and to show if difference in return is a manifestation of value premium. Also relating the time series return to the factor model of Fama and French model which was able to explain the 40% of the cross-sectional variation in return. The term structure of equity shows a downward slope with the measure of cash flow duration created at firms level.

Access Control

Open Access

Included in

Economics Commons