Mike Qinghao Mao, K. C. John Wei, Cash-Flow News and the Investment Effect in the Cross Section of Stock Returns, Management Science, Vol. 62, No. 9 (September 2016), pp. 2504-2519 ...

I link an asset's risk premium to two characteristics of its underlying cash flow: covariance and duration. Using empirically novel estimates of both cash flow characteristics based exclusively on ...