Stocks of firms with cash flows concentrated in the short term (ie, short duration stocks) pay a
large premium over long duration stocks. I empirically demonstrate that this premium (i) is …

The equity term structure is downward sloping at long maturities. I estimate an Intertemporal
Capital Asset Pricing Model (ICAPM) to show that the trade‐off between market and …

We provide theoretical and empirical evidence over 1871–2014 that total payouts (dividends
plus buybacks) are the key drivers of long-run stock market returns. We show that total …

We develop a new approach to modeling dynamics in cash flows extracted from daily firm‐
level dividend announcements. We decompose daily cash flow news into a persistent …

We re-examine dividend growth and return predictability evidence using 165 years of data
from the Brussels Stock Exchange. The conventional wisdom holds that time-varying …

The price of discount rate risk reveals whether increases in equity risk premia represent
good or bad news to rational investors. Employing a new empirical methodology, we find …

We examine the predictive ability of the aggregate earnings yield for both market returns and
earnings growth by estimating variance decompositions at multiple horizons. Based on …

Slicing an asset by payout horizons unseals information about its future returns and cash
flows. As an example, we slice an equity market index into granular pieces (dividend strips) …

Present-value logic says that aggregate stock prices are driven by discount-rate and cash-
flow expectations. Dividends and net repurchases are both cash flows between the firm and …

Several papers decompose stock returns into cash flow and discount rate news to study
equity market fluctuations. This paper develops an alternative return decomposition based …