Date of Award
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.
Jaiteh, Sulayman, "Term Structure of Equity: Analysis for the Case of European Stocks" (2022). Theses - Graduate Programs in Economic Theory and Policy. 44.