scholarly journals Cash Flow Duration and the Term Structure of Equity Returns

2016 ◽  
Author(s):  
Michael Weber
Keyword(s):  
Term Structure ◽  
Cash Flow ◽  
Equity Returns ◽  
Flow Duration

scholarly journals On the Timing and Pricing of Dividends: Comment

2016 ◽  
Vol 106 (10) ◽  
pp. 3185-3223 ◽  
Author(s):  
Florian Schulz
Keyword(s):  
Term Structure ◽  
Risk Premium ◽  
Risk Premia ◽  
Equity Returns ◽  
Equity Risk Premium ◽  
Short Term ◽  
Equity Risk ◽  
Market Portfolio ◽  
Show Evidence

I present novel empirical evidence on the term structure of the equity risk premium. In contrast to previous research that documented high discount rates for the short-term component of the market portfolio, I show evidence for an unconditionally flat term structure of equity risk premia. The tension with previous literature arises largely as a result of differential treatments of heterogeneous investment taxes, manifested in micro evidence on abnormal equity returns on ex-dividend days, and liquidity. The results not only help resolve an important recent “puzzle” but provide further important insights on the role of investment taxes in asset pricing. (JEL G11, G12, G35)

scholarly journals Sustainable Construction and Financing—Asset-Backed Securitization of Expressway’s Usufruct with Redeemable Rights

2021 ◽  
Vol 13 (16) ◽  
pp. 9113
Author(s):  
Qiming Zhang ◽  
Linda Yin-nor Tjia ◽  
Biyue Wang ◽  
Aksel Ersoy
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Cash Flow ◽  
Sustainable Construction ◽  
Infrastructure Project ◽  
Project Characteristics ◽  
Basic Asset

Asset-backed securitization will greatly promote the sustainability of infrastructure construction and financing. However, there are quite limited researches conducted in this field. Given the project characteristics of infrastructure project securities, this paper proposes the issuance steps of redeemable asset-backed notes (ABN) based on the infrastructure project’s usufruct as the basic asset. Taking the expressway franchise as an example, the issuing scale and coupon rate of the redeemable ABN are determined by the expected cash flow of the expressway, the term structure of random interest rates, and the option-adjusted spread (OAS). In addition, this research analyzes the duration, convexity, and OAS.

Financial Leverage Analysis for Small Business

1979 ◽  
Vol 4 (2) ◽  
pp. 12-21
Author(s):  
Charles E. Edwards ◽  
Philip L. Cooley ◽  
Robert H. Zerbst
Keyword(s):  
Small Business ◽  
Cash Flow ◽  
Small Businesses ◽  
Flow Model ◽  
Equity Returns ◽  
Financial Leverage ◽  
Operating Income ◽  
Business Analyst ◽  
Income Model

The effects of financial leverage on equity returns may be analyzed in either of two frameworks. When using the net-operating-income model to evaluate leverage, the small-business analyst, unwittingly and by default, makes several implicit assumptions. Most of these implicit assumptions are unrealistic and too restrictive for small businesses. Unencumbered by such restrictive conditions, the cash-flow model can be tailored to meet the distinctive characteristics of small businesses.

Matching

1989 ◽  
Vol 116 (3) ◽  
pp. 529-535 ◽  
Author(s):  
A. J. Wise
Keyword(s):  
United Kingdom ◽  
Cash Flow ◽  
Pension Fund ◽  
Price Volatility ◽  
Mathematical Framework ◽  
Flow Duration ◽  
Basic Task ◽  
The United Kingdom ◽  
General Terms

1.1 The basic task of actuarial valuation is to compare the quantity of assets with the quantity of liabilities. A refinement is to compare qualities as well as quantities.1.2 The qualities of assets and liabilities are their characteristics of cash flow, duration, growth, price volatility, etc. This note considers a conceptual and mathematical framework for matching in the most general terms.1.3 Insurance work in the United Kingdom uses the notion of reserves for mismatching. Pension fund valuations in the U.K. also tend to use a notion of matching when considering the actuarial value placed on the fund.

Horizon Bias and the Term Structure of Equity Returns

2019 ◽  
Author(s):  
Stefano Cassella ◽  
Benjamin Golez ◽  
Huseyin Gulen ◽  
Peter Kelly
Keyword(s):  
Term Structure ◽  
Equity Returns
Sign in / Sign up

Export Citation Format

Share Document