A Unified Duration-based Explanation of the Value, Profitability and Investment Anomalies

Abstract

Two duration factors, motivated by the downward-sloping term structure of equity returns, explain the value, profitability, and investment premiums well. One duration-factor captures the spread of returns between short and long duration, and the other duration-factor predicts the short-term returns caused by abnormal duration transitions. A four-factor model with the two duration-factors, market, and size explain many related anomalies comparable to some leading factor-models. Our study shows that these three and many related anomalies can admit a unified risk-based interpretation.

Date of Award	4 May 2020
Original language	English
Awarding Institution	City University of Hong Kong
Supervisor	Tao LI (Supervisor) & Xueping WU (Co-supervisor)